In this study, montmorillonite (MMT) was modified by intercalating polyethylene oxide (PEO) macromolecules between the interlayer spaces in an MMT-water suspension system. X-ray diffraction results revealed that the galleries of MMT were expanded significantly after intercalation of different loading of PEO. MMT/PEO 80/20 composite was chosen as the support platform for immobilization of Pd species in preparing novel heterogeneous catalysts. After immobilization of Pd species, the interlayer spacing of MMT/PEO (80/20) (1.52 nm) was further increased to 1.72 nm (Pd2+@MMT/PEO) and 1.73 nm (Pd0@MMT/PEO), confirming the well-immobilization of the Pd species in the interlayer spaces of PEO-modified MMT. High-resolution transmission electron microscopy (HR-TEM) observation results confirmed that Pd nanoparticles were confined inside the interlayer space of MMT and/or dispersed well on the outer surface of MMT. The conversion of Pd2+ to Pd0 species was evidenced by binding energy characterization with X-ray photo electron spectroscopy (XPS). The microstructure variation caused by the Pd immobilization was sensitively detected by positron annihilation lifetime spectroscopy (PALS) studies. The prepared Pd0@MMT/PEO (0.2/80/20) catalytic composite exhibits good thermal stability up to around 200 °C, and it showed high activities for Heck reactions between aryl iodides and butyl acrylates and could be recycled for five times. The correlations between the microstructure and properties of the Pd@MMT/PEO catalytic composites were discussed.