The appearance of ferromagnetism in the surface regime of Pd nanoparticles was recently reported [Phys. Rev. Lett. 91, 197201 (2003)]. To experimentally confirm the surface magnetism, the effects of O₂ gas adsorption on the Pd nanoparticles are studied based on the measurements of the coverage and magnetization. The surface ferromagnetism was weakened in the samples fully covered with O₂ gas. However, the ferromagnetic moment remained after the exposure to O₂ gas. This result shows the ferromagnetism existing in the internal regime in addition to the surface magnetism. [DOI: 10.1380/ejssnt.2006.439]