The morphological and structural properties of Pd–CeO2/Al2O3 catalytic compositions annealed at 100, 500, and 1000°С are studied, along with thereof coatings deposited on metallic foil via cold gas dynamic spraying. The influence of the preparation technique of the initial catalytic composition and introducing active component into a coating on their phase states, particle sizes, and activitites is elucidated. It is shown that introducing active components via impregnation into preliminarily sprayed alumina layer ensures the uniform distribution of Pd and Ce in the support profile, the formation of nanosized PdO particles, and the phase of interaction between the components of the catalyst and support. The impregnated catalyst shows the highest activity in the reaction of methane oxidation. The technique for preparing coatings has no limitations when scaled up and can find application in manufacturing full-size catalysts on metallic foil for different types of power engineering devices.