Multicomponent catalysts have been long known for their potential to improve catalytic performance, whereas rational design proposes profound challenges. Herein, we present a strategy for engineering metal oxide units to realize efficient methane combustion through incorporating Mg into Pd/Ce_xZr_1−xO₂–Al₂O₃ catalysts. Catalysts are facilely obtained through a sol–gel method and incipient wetness impregnation process; meanwhile, the surface and structural properties are tuned via Mg modification. The doped Mg component enters the CZ lattice, inducing numerous oxygen vacancies and favourable oxygen migration due to the structural and electronic mismatch between Mg²⁺ and Ce⁴⁺ (or Zr⁴⁺). The generated MgAl₂O₄ spinel and oxygen vacancies conjointly result in weaker Pd–O bonds and improved reducibility. Meanwhile, the efficient oxygen transfer between the metal and support contributes to the reformation of bulk PdO. Consequently, the smooth conversion of Pd ↔ PdO is realized, which is beneficial for methane oxidation. Moreover, the catalytic activity of Pd/5CZA-yM varies with the particle size of palladium species. The as-prepared Pd/5CZA-5M with a moderate Pd particle size demonstrates significantly boosted catalytic activity and long-term stability compared to the unmodified one.