The series of Ce0.5Zr0.5O2 and MOx-Ce0.5Zr0.5O2 supports were synthesized by a micro-emulsion method. This method efficiently controlled the average particle size of supports below 6 nm. The supported NiO/Ce0.5Zr0.5O2 and NiO/MOx-Ce0.5Zr0.5O2 catalysts were prepared by an incipient-wetness impregnation method. The OCS measurement and TPR result showed that adding Mg improved obviously the OSC of supports and the interaction between active components and supports. Furthermore, 8 wt%NiO/4wt%MgO-Ce0.5Zr0.5O2 exhibited the highest catalytic performance. Its methane conversion reached up to 96% and enhanced 9% after 5 h compared to 8 wt%NiO/Ce0.5Zr0.5O2. Especially, Its methane conversion was above 97% after 50 h continuous test at 800 degrees C.