A catalyst with a core-shell structure for methane oxidation, a method of preparing the catalyst, and a method of methane oxidation using the catalyst are disclosed. The catalyst includes a core structure consisting of a nano-support and core nanoparticles; and a shell coating layer coated on the core structure in which the core nanoparticles have a particle diameter smaller than that of the nano-support and are coated on the nano-support to form a core structure. The catalyst has excellent thermal stability during methane oxidation reaction at high temperature and an effect of increasing methane conversion and formaldehyde selectivity.