An ultra-large pore mesocellular foam silica (MCF) was employed as a support for preparation of supported Pd catalysts for the liquid-phase selective hydrogenation of phenylacetylene. The catalysts were prepared by three different routes: (i) incipient wetness impregnation using Pd(II)acetate solution (Pd/MCF-imp), (ii) impregnation of colloidal Pd nanoparticles obtained by the solvent reduction method (Pd/MCF-col), and (iii) in situ synthesis of MCF in the presence of the Pd colloid (Pd/MCF-ss). The conventional impregnation method resulted in more agglomeration of Pd particles and partial collapse of MCF structure, hence the Pd/MCF-imp exhibited the lowest selectivity towards styrene at total conversion of phenylacetylene. Only the Pd/MCF-ss, in which most of the Pd nanoparticles were encapsulated by the silica matrix, was found to retain high styrene selectivity (> 80%) after complete conversion of phenylacetylene. Comparing to the other highly efficient Pd catalysts reported in the literature under similar reaction conditions, it can be emphasized that coverage of Pd surface by the support produces great beneficial effect for enhancing styrene selectivity, regardless of the type of supports used (i.e., TiO2, carbon nanotubes, or mesostructured silica).