Catalytic combustion is considered as an efficient and economic technology to remove VOCs, and Al-ZSM-5 zeolite supported palladium catalysts (Pd/Al-ZSM-5) with good performances in this kind of reactions have been reported. In this work, it is found that Fe-ZSM-5 supported palladium catalyst (Pd/Fe-ZSM-5) exhibit higher catalytic activity in toluene combustion than the Pd/Al-ZSM-5, which is strongly related to more Pd-0 active species and higher concentration of absorbed oxygen species of Pd/Fe-ZSM-5 than those of Pd/Al-ZSM-5. More importantly, Pd/Fe-ZSM-5 has a good catalyst life and water-resistant ability, which should be potentially significant for practical applications in environment protection.