CO adsorption and O₂ activation played important roles in CO oxidation on a supported Pd catalyst, which were dependent on the chemical state of Pd. A series of Pd catalysts supported on Al₂O₃ with different Pd states were prepared: metal Pd (NCR), PdO (NC), Pd²⁺ coordinated with Cl⁻ (Pd²⁺–Cl⁻, CF), and a mixture of PdO and Pd²⁺–Cl⁻ (CC) and the activity of CO oxidation was in the order NCR ~ CF > CC ≫ NC. The catalysts were characterized by Brunauer, Emmett and Teller (BET) surface area analysis, X-ray diffraction (XRD), temperature programmed reduction by hydrogen (H₂-TPR), X-ray photoelectron spectroscopy (XPS) and in situ diffuse reflectance infrared Fourier transform spectroscopy (DRIFTS). The results showed that metal Pd (Pd⁰) could be partially oxidized to Pd⁺ in the presence of O₂, which produced new CO adsorption sites and decreased the CO adsorption strength simultaneously. The cooperation between the enhanced CO adsorption and the decrease in the CO adsorption strength led to high activity for CO oxidation on NCR. For high chemical valence Pd in the species (Pd²⁺), the chemical environment or coordinated ligand of the Pd species showed large effects on the CO oxidation. The lowest CO oxidation activity on NC occurred when PdO hardly adsorbed CO, meanwhile, PdO was not easily reduced by CO. However, the presence of Cl⁻ significantly promoted the reduction of Pd²⁺ to Pd⁺, which increased the amount of CO adsorption and resulted in the higher activity for CO oxidation on CF and CC than PdO. Tuning the CO adsorption by adjusting the chemical state of Pd may be a useful approach to prepare a highly efficient supported Pd catalyst.