Here, Pd nanoparticles supported on ZnO were prepared by the alcohol-reduction and the borohydride-reduction methods, and their efficiency towards the photocatalytic conversion of methane under mild conditions were evaluated. The resulting Pd/ZnO photocatalysts were characterized by X-ray fluorescence, X-ray diffraction, X-ray photoelectron spectroscopy, UV–Vis, and transmission electron microscopy. The reactions were performed with the photocatalysts dispersed in water in a bubbling stream of methane under UV-light illumination. The products formed were identified and quantified by gas chromatography (GC-FID/TCD/MSD). The principal products formed were C2H6 and CO2 with minor quantities of C2H4 and CO. No H2 production was observed. The preparation methods influenced the size and dispersion of Pd nanoparticles on the ZnO, affecting the performance of the photocatalysts. The best performance was observed for the photocatalyst prepared by borohydride reduction with 0.5 wt% of Pd, reaching a C2H6 production rate of 686 µmol·h−1·g−1 and a C2H6 selectivity of 46%.