We performed first-principles calculations to study the adsorption of the CO molecules on both clean and Pd-doped ZnGa2O4 (111) surfaces. The adsorption reaction and work function of the CO adsorption models were examined. The CO molecules on the clean and Pd-doped ZnGa2O4 (111) surfaces exhibit maximum work function changes of −0.55 eV and −0.79 eV, respectively. The work function change of Pd-doped ZnGa2O4 (111) for detecting CO is 1.43 times higher than that of the clean ZnGa2O4 (111). In addition, the adsorption energy is also significantly reduced from −1.88 eV to −3.36 eV without and with Pd atoms, respectively. The results demonstrate ZnGa2O4-based gas sensors doped by palladium can improve the sensitivity of detecting CO molecules.