Electrochemical energy devices such as fuel cells have received the extensive concern in recent decades. However, the commercial applications of fuel cells have been restricted by the slow kinetics of oxygen reduction reaction (ORR). Pd-based fuel cell catalysts are strong candidates for enhanced ORR activities, especially under alkaline conditions. Therefore, extensive exploration has been made to improve the performance of Pd-based nanocatalysts for oxygen reduction reaction. This paper reviews the research progress of preparation, electrocatalytic performance, and in situ characterization of various Pd-based oxygen reduction catalysts, from 0-dimensional nanoparticles, to one-dimensional nanowires, to two-dimensional nanosheets, and to Pd single-atom catalysts. It may provide some help for improving the activity of Pd-based catalysts and understanding the reaction mechanisms and structure-activity relationships.