The adsorption properties of Pd on CeO2(111) surface are studied using the first principle projector-augmented-wave (PAW) method based density functional theory (DFT) within generalized gradient approximation (GGA) and with the inclusion of on-site Coulomb interaction (DFT+U). It is found that there exist different adsorption features for different coverages of Pd: (1) For one monolayer (ML) Pd adsorption on CeO2(111) surface, Pd prefers to be adsorbed on the atop O site leaning toward the Ce-bridge site; while, for the 1/4 ML adsorption, Pd prefers to be adsorbed on the O-bridge site leaning toward the atop subsurface O site. (2) The interaction between the adsorbed Pd atoms is very strong when the coverage is one ML; on the other hand, there is almost no interaction between the Pd atoms for the 1/4 ML Pd adsorption, correspondingly, the interaction between Pd adatoms and CeO2(111) substrate is stronger for lower coverage adsorption (1/4 ML) than that for higher coverage adsorption (1 ML). (3) The adsorption of Pd disturbes the CeO2(111) surface structure in the vicinity of the adsorption site. (4) The Pd adsorption makes the Pd/CeO2 more active as compared with the clean CeO2(111) and bulk Pd metal, and there may exist some active sites at the Pd/CeO2 interface. These studies may lead to a better understanding for the Pd/CeO2 catalysts and give some hints to improve the efficiency of TWC.