This invention relates to a process for selectively hydrogenating unsaturated hydrocarbons in the liquid phase, in the presence of a catalyst comprising palladium on an alumina carrier, said catalyst resulting from contacting alumina agglomerates of at least a 120 m2/g specific surface with steam at 110* - 300* C. for at least 15 minutes, drying the resulting agglomerates, heating them to a temperature from 500* to 1,200* C., so as to obtain alumina agglomerates of a 40 - 100 m2/g specific surface, admixing said agglomerates with a palladium compound and heating up the resulting mixture to 300* - 600* C.