Several synthesis routes were followed to prepare ordered mesoporous silica, SBA-15, and alumino-silica, Al–SBA-15, supported palladium catalysts. Synthesis method as well as the nature of precursor used in the preparation of these catalysts strongly determined their physico-chemical features which were evaluated by means of XRD diffraction, N2 sorption, temperature programmed reduction, UV–visible spectroscopy, and transmission electron microscopy. Their activity in simultaneous NOx reduction and methane combustion was assayed by means of temperature-programmed surface reaction and steady-state measurements. The catalyst prepared by means of incipient wetness impregnation using an ammine palladium precursor exhibited the highest deNOx activity together with substantial activity in methane combustion. Adequately dispersed PdO active phase, located inside the pores of the ordered structure of the silica support, as well as relative stronger interaction active phase-support in this case resulted in this higher activity. However, methane oxidation reaction seemed to be somehow hindered by such enhanced dispersion and stronger palladium-support interactions. Therefore higher activity towards methane oxidation, both in terms of set-off temperature and maximal conversion achieved, was observed for the ion-exchanged catalyst, containing less dispersed and more weakly bonded palladium phase.