The strong metal–support interaction (SMSI) between the three components in Au/CeO2–Mg(OH)2 can be controlled by the relative composition of CeO2 and Mg(OH)2 and by the calcination temperature for the direct oxidative esterification of methacrolein (MACR) with methanol to methyl methacrylate (MMA). The composition ratio of CeO2 and Mg(OH)2 in the catalyst affects the catalytic performance dramatically. An Au/CeO2 catalyst without Mg(OH)2 esterified MACR to a hemiacetal species without MMA production, which confirmed that Mg(OH)2 is a prerequisite for successful oxidative esterification. When Au/Mg(OH)2 was used without CeO2, the direct oxidative esterification of MACR was successful and produced MMA, the desired product. However, the MMA selectivity was much lower (72.5%) than that with Au/CeO2–Mg(OH)2 catalysts, which have an MMA selectivity of 93.9–99.8%, depending on the relative composition of CeO2 and Mg(OH)2. In addition, depending on the calcination temperature, the crystallinity of the CeO2–Mg(OH)2 and the surface acidity/basicity can be remarkably changed. Consequently, the Au-nanoparticle-supported catalysts exhibited different MACR conversions and MMA selectivities. The catalytic behavior can be explained by the different metal–support interactions between the three components depending on the composition ratio of CeO2 and Mg(OH)2 and the calcination temperature. These differences were evidenced by X-ray diffraction, X-ray photoelectron spectroscopy, and CO2 temperature-programmed desorption. The present study provides new insights into the design of SMSI-induced supported metal catalysts for the development of multifunctional heterogeneous catalysts.