A novel method for the preparation of α-alumina foams with P-γ-Al₂O₃ modified coating for the palladium catalysts was proposed. The polyurethane template method was used and the preparation parameters were optimized. The apparent porosity of the ceramic foam is 90.28%, the bulk density is 0.45 g·cm^-3, and the strength of ceramic foam is satisfying. The P-modified γ-Al₂O₃ coating was prepared on the α-alumina foam, and then the active catalytic phase (Pd) was loaded by ultrasound-assisted impregnation. Results show that the P-containing coating increases the surface area and weakly acidic sites of the inert foam while decreasing the proportion of strongly acidic sites. Compared with the uncoated foam, the foam with modified coating can easily load the active phase. In addition, the loaded Pd metal can hardly be oxidized, and the catalytic conversion temperature (T₅₀, T₉₀) of CO reduces by about 50 °C. This research presents the great practical potential of low-cost modified α-Al₂O₃ ceramic foams in the palladium catalyst production.