The invention discloses a supported palladium catalyst and a preparation method thereof. The catalyst comprises a carrier, aid ingredients and an active ingredient, wherein the carrier is gamma-aluminum oxide, the aid ingredients are lanthanum and manganese or lanthanum and cobalt, and the active ingredient is palladium; the palladium load capacity is 0.2 wt% to 0.8 wt%, the lanthanum load capacity is 0.5 wt% to 1.5 wt%, and the manganese or cobalt load capacity is 0.2 wt% to 0.5 wt%. According to the catalyst, the carrier is modified with aids subjected to vacuum adsorption drying, and a proper amount of the manganese or the cobalt is added, so that the growth of Al2O3 crystal particles during high-temperature treatment can be inhibited, the specific surface area of the catalyst is enlarged, the Pd dispersity is improved, the alkalinity of the carrier surface is enhanced, the Pd concentration of the catalyst surface is increased, the Pd layer thickness is reduced, and the hydrogenation activity and selectivity of the catalyst are improved; meanwhile, the prepared catalyst is high in mechanical strength, uniform in aperture distribution and low in impurity content.