A selective hydrogenation catalyst system, and a process for its preparation and its use. The catalyst system of the invention comprises a support material, a Pd-containing catalyst component and a Bi-containing cocatalyst component. The catalyst system of the invention is manufactured by impregnating the support material simultaneously or separately with Pd-containing solution, Bi-containing solution or/and one or more other cocatalyst solutions, and then drying and calcining. The activity and selectivity of the catalyst system of the invention, in selective hydrogenation of acetylenic and diolefmic compounds in hydrocarbon feeds, are significantly improved, while the green oil formation and carbon deposit on the catalyst reduced, and the service life increased and production costs decreased.