The catalytic oxidation of methane was studied over palladium supported on nanocrystalline ceria. Three palladium weight loadings (1, 5, and 10 wt%) were tested after calcining at 500 °C, at 280 °C and after no calcination at all. For the 5 and 10 wt% loadings, the 280 °C-calcined and non-calcined catalysts exhibit enhanced activity after several heating and cooling cycles. Calcining these same catalysts at 500 °C results in a systematic decline in activity. For all pretreatments the 1 wt% Pd catalyst exhibits decreasing activity. For the 5 and 10 wt% Pd loadings, the non-calcined catalysts are more active than the 280 °C-calcined catalysts, which are more active than the 500 °C-calcined catalysts. For the 1 wt% Pd catalyst, the opposite is true. The catalyst activity improves as the Pd loading is increased.