Alumina materials, as one of the cornerstones of the modern chemical industry, possess physical and chemical properties that include excellent mechanical strength and structure stability, which also make them highly suitable as catalyst supports. Alumina-supported Pd-based catalysts with the advantages of exceptional catalytic performance, flexible regulated surface metal/acid sites, and good regeneration ability have been widely used in many traditional chemical industry fields and have also shown great application prospects in emerging fields. This review aims to provide an overview of the recent advances in alumina and its supported Pd-based catalysts. Specifically, the synthesis strategies, morphology transformation mechanisms, and structural properties of alumina with various morphologies are comprehensively summarized and discussed in-depth. Then, the preparation approaches of Pd/Al2O3 catalysts (impregnation, precipitation, and other emerging methods), as well as the metal-support interactions (MSIs), are revisited. Moreover, Some promising applications have been chosen as representative reactions in fine chemicals, environmental purification, and sustainable development fields to highlight the universal functionality of the alumina-supported Pd-based catalysts. The role of the Pd species, alumina support, promoters, and metal-support interactions in the enhancement of catalytic performance are also discussed. Finally, some challenges and upcoming opportunities in the academic and industrial application of the alumina and its supported Pd-based are presented and put forward.