A vermiculite supported catalyst for carbon monoxide (CO) preferential oxidation (PROX) is disclosed. The CO PROX catalyst comprises at least one catalytic agent, one optional modifier agent, one carrier material, and a vermiculite support. The process for preparing the vermiculite supported catalyst in this invention includes depositing first the carrier material on a vermiculite support followed by calcination to form the carrier-containing support, and wet impregnating the catalytic agent and the optional modifier agent on the carrier-containing support followed by drying and calcination to form the CO preferential oxidation catalyst.