CO2-in-Water (C/W) emulsion was formed by using a nonionic surfactant of poly (ethylene oxide)-poly (propylene oxide)-poly (ethylene oxide) (P123), and palladium nanoparticles were synthesized in situ in the present work. The catalytic performance of Pdnanoparticles in the C/W emulsion has been discussed for a selective hydrogenation of citral. Much higher activity with a turnover frequency (TOF) of 6313 h−1 has been obtained in this unique C/W emulsion compared to that in the W/C microemulsion (TOF, 23 h−1), since the reaction was taking place not only in the surfactant shell but also on the inner surface of the CO2 core in the C/W emulsion. Moreover, citronellal was obtained with a higher selectivity for that it was extracted to a supercritical carbon dioxide (scCO2) phase as formed and thus its further hydrogenation was prohibited. The Pdnanoparticles could be recycled several times and still retain the same selectivity, but it showed a little aggregation leading to a slight decrease in conversion.