Three-way catalysts containing palladium and/or rhodium were prepared using γAl2O3 doped with lanthanum oxide as a support. All the samples were obtained by an incipient wetness impregnation of the support with an aqueous solution of nitrates. In order to investigate the metal–support interaction, the support was additionally calcined at 800 °C before the impregnation procedure. Characterization of the support thermally treated within a range of 600–1000 °C by low-temperature nitrogen absorption, X-ray diffraction analysis, and electron paramagnetic resonance spectroscopy has revealed that the treatment conditions strongly affect the textural properties, the phase composition and the concentration of electron-donor sites on the surface of the support. Deposition of metals by the impregnation of initial support with a joint solution of Pd and Rh nitrates has led to formation of small Pd–Rh alloyed nanoparticles with strong metal–metal interaction, which was confirmed by a testing reaction of ethane hydrogenolysis. No alloy formation was observed in the case of mechanical mixing of the separately prepared Pd-only and Rh-only catalysts as well as in the case of preliminary calcined support impregnated with a joint solution of Pd and Rh nitrates. Bimetallic Pd–Rh catalyst of alloyed type was shown to be the most promising in terms of catalytic performance and thermal stability.