Despite many years of research and continuous improvements in scientific equipment, some of the thermodynamic properties of binary systems are still unknown, or are only theoretically predicted or calculated. This situation often arises from the difficulties in preparing alloys for experimental measurements. The alloys from the Mg-Pd system, especially for the Pd-rich side, are difficult to produce, and the availability of thermodynamic data is very limited. Therefore, this paper presents calorimetric studies on the standard enthalpy of formation of alloys from the Mg-Pd system, which were prepared using mechanical alloying. Three alloys (S1, S2, and S3) were synthesized, homogenized, and subjected to X-ray diffraction (XRD) analysis to investigate their phase composition. The XRD studies showed that the alloys designated as S1 and S2 were the intermetallic phases Mg6Pd and Mg0.9Pd1.1, and the S3 sample was a mixture of MgPd and MgPd3 intermetallic phases. Their heat effects, measured by drop calorimetry, were used to calculate the values of the standard enthalpies of formation of the prepared phases. The values obtained were as follows: −27.5 ± 1.1 kJ/mol at. for the Mg6Pd intermetallic phase, −72.7 ± 1.0 kJ/mol at. for the Mg0.9Pd1.1 intermetallic phase, and −46.8 ± 1.5 kJ/mol at. for the alloy which was a mixture of MgPd and MgPd3. These data were compared with values from the existing literature on the enthalpy of formation of alloys, as well as with data calculated using Miedema’s model.