Novel palladium catalysts supported on alumina supports with the hierarchically macro-/mesoporous structure were prepared and applied to selective hydrogenation of pyrolysis gasoline. The textural, structural, and morphological properties of the catalyst supports were studied by SEM, XRD, and N-2 adsorption-desorption techniques. The results showed that the hierarchically macro-/mesoporous structures of these materials were formed by a spontaneous self-assembly mechanism, and the presence of surfactant molecules, which influenced the mesopore size distribution, had almost no effects on the macroporous channels. Calcination treatments of the prepared materials revealed their high thermal stability. By comparison with a commercial catalyst without the hierarchically porous structure, these novel catalysts exhibited much better catalytic performance, that is, higher activity and selectivity, which was ascribed mainly to their unique structures of hierarchical mesopores and macropores. Finally, the stability of the novel catalysts was tested. Both experimental observations and TGA analysis of the used catalysts indicated good stability of these catalysts.