Furfuryl alcohol (FA) is an important chemical and has extensive applications in varied fields. To realize the highly selective hydrogenation of furfural (FF) to produce FA, the key is the preparation of the catalysts with excellent performance. Herein, a very simple wet chemical method is developed for the one-step preparation of PdAg nanosponges (NSs). Specifically, with Pd(OAc)2 and AgNO3 as precursors, and ethylene glycol (EG) as both solvent and reducing agent, PdAg NSs can be grown and assembled at mild temperature of 40 °C. Throughout the reaction, no any surfactants and additional reducing agents are applied. The as-prepared PdAg NSs possess 3D self-supported alloy structures, “clean” surface, abundant pores, high specific surface area and rich defects. In the FF hydrogenation reaction at 60 °C under 1.5 MPa H2 pressure in the mixed solvent of ethanol and water (1 : 4 in volume ratio), the self-supported PdAg-1 NSs (1 : 1 in Pd/Ag molar ratio) exhibit superior catalytic performance than other PdAg NSs, pure Pd sample and commercial Pd/C (10%). With PdAg-1 NSs as catalyst in the absence of support, 100% FF can be converted and the selectivity toward FA is as high as 97.1% at 36.0 h of reaction. After 4 cycles, PdAg-1 NSs still maintain the high catalytic activity in FF hydrogenation and high selectivity toward FA, which may originate from the 3D self-supported structures, high specific surface area, “clean” surface, rich defects and electronic synergistic effect between Pd and Ag. This simple fabrication of PdAg NSs introduces new ideas for the synthesis of other nanostructured bi- and multi-metallic catalysts for highly selective FF hydrogenation to FA and other advanced applications.