Lithium–air batteries have become a desirable research direction in the field of green energy due to their large specific capacity and high energy density. The current research mainly focuses on an open system continuously supplying high-purity oxygen or air. However, factors such as water and CO2 in the open system and liquid electrolytes’ evaporation will decrease battery performance. To improve the practical application of lithium–air batteries, developing a lithium–oxygen battery that does not need a gaseous oxygen supply is desirable. In this study, we designed a closed lithium–oxygen battery model based on the conversion of lithium superoxide and lithium peroxide (LiO2 + e− + Li+ ↔ Li2O2). Herein, the Pd-rGO as a catalyst will produce the LiO2 in the pre-discharge process, and the closed battery can cycle over 57 cycles stably. In addition to in situ Raman spectra, electrochemical quartz crystal microbalance (EQCM) and differential electrochemical mass spectrometry (DEMS) have been applied to explanation the conversion between LiO2 and Li2O2 during the charge–discharge process. This work paves the way to introduce a new closed “lithium–oxygen” battery system for developing large-capacity green energy.