The invention discloses an oxide supported palladium hydrogenation catalyst and a preparation method thereof; the catalyst carrier is a metallic oxide; and the active component is noble metal palladium nano particle. The catalyst comprises 0.1-5% palladium and the balance of metallic oxide. The preparation method comprises the following steps: (1) preparing the metallic oxide carrier with sol-gel process; (2) dissolving the palladium salt in the ionized water to prepare the palladium salt water solution of which the concentration is 0.01-0.2 mol/L; adding the metallic oxide in the palladium salt water solution and ultrasonically dispersing for 0.5-1 hour; under the effect of magnetic stirring, adding the water solution containing the reducing agent drop by drop, wherein the ratio of the reducing agent to the palladium salt is (1: 1)-(2: 1); after adding, stirring for 1-2 hours; and (3) stirring in the oil bath for 1-2 hours, then filtering, washing and stoving to obtain the oxide supported palladium hydrogenation catalyst. The oxide supported palladium hydrogenation catalyst has high catalytic activity and high selectivity for the cinnamyl aldehyde hydrogenation to prepare the benzene propanal.