Pd nanoparticles supported on γ-Fe2O3 (2 wt.%) were synthesized using the water-in-oil microemulsion method (using hydrazine as a reductant agent). Materials were characterized by N2-BET at low temperature, XRD, XPS, Raman, and FTIR and tested in the gas phase reaction of oxidation of methanol. The direct formation of methyl formate (MF) from methanol was observed. Supported palladium catalysts produced methyl formate at low temperature (<150 °C) with a relatively high selectivity depending on the Fe+2/Fe+3 ratio (2:1, 1:1, 1:2) used for the preparation of the supports. Methyl formate is already formed at 50 °C with the maximum at about 80 °C. At higher temperature, methyl formate is no longer formed and the oxidation to CO2 and CO occurs. Raman studies indicated the changes in the structure of the Fe2O3 support in the case of the 1:2 sample after chemical reduction with hydrazine.