Preferential oxidation of CO is an important reaction for the application of membrane fuel cells, while preferential oxidation of H2 is the key process of coal-to-ethylene glycol technology in coal chemical industry. The pivot of the performance of catalysts used in preferential oxidation (PROX) is maximizing the selectivity to a single component while maintaining the high activity at the same time. Two types of catalysts with different interactions of Pd and perovskite support (LaMO3, M = Fe or Ni) were synthesized and applied in the preferential oxidation of CO or H2. The catalyst (PLFOsg) with Pd element inserted into the LaFeO3 support surface carries the best catalytic activity and the highest H2O selectivity, whereas the performance of PLNOsg (Pd element inserted into LaNiO3) is inferior. TOFs and activation energies under the reaction condition are calculated. The characterization results explain that the different Pd species and O species are the critical factors of the catalytic performance, and it explains the reason for the excellent performance of Pd-inserted PLFOsg sample.