Zeolites and metal-doped zeolites are now widely considered as low-temperature hydrocarbon traps to be a part of emission control systems in automobiles. However, due to the high temperature of exhaust gases, the thermal stability of such sorbent materials is of great concern. To avoid the thermal instability problem, in the present work, laser electrodispersion was used to deposit Pd particles on the surface of ZSM-5 zeolite grains (SiO2/Al2O3= 55 and SiO2/Al2O3= 30) to obtain Pd/ZSM-5 materials with a Pd loading as low as 0.03 wt.%. The thermal stability was evaluated in a prompt thermal aging regime involving thermal treatment at temperatures up to 1000 °C in a real reaction mixture (CO, hydrocarbons, NO, an excess of O2, and balance N2) and a model mixture of the same composition with the exception of hydrocarbons. Low-temperature nitrogen adsorption and X-ray diffraction analysis were used to examine the stability of the zeolite framework. Special attention was paid to the state of Pd after thermal aging at varied temperatures. By means of transmission electron microscopy, X-ray photoelectron spectroscopy, and diffuse reflectance UV–Vis spectroscopy, it was shown that palladium, having been initially located on the surface of zeolite, undergoes oxidation and migrates into the zeolite’s channels. This enhances the trapping of hydrocarbons and their subsequent oxidation at lower temperatures.