This review provides an overview of current progress in Pd nanoparticles supporting localized surface plasmon resonance and their applications. We begin by analyzing briefly the optical properties of Pd putting particular focus on outlining the origin of its size- and shape-dependent LSPR, high refractive index sensitivity, and high absorption contribution. The differences in the optical behavior with Au and Ag, the primary plasmonic materials, are highlighted. The main strategies to synthesize Pd nanoparticles, pure or hybrid, with well-defined optical properties are then reviewed. In this section, we include only those works that carry out the study of the optical properties of the nanoparticles. The applications of plasmonic Pd nanoparticles are also discussed in detail. This review is concluded with a section devoted to the future perspectives highlighting the most relevant challenges to be addressed to take Pd nanoparticles from the laboratory to real applications.