Improving the electrocatalytic activity and durability of Pt-based catalysts with low Pt content toward the oxygen reduction reaction (ORR) is one of the main challenges in advancing the performance of polymer electrolyte membrane fuel cells (PEMFCs). Herein, a designed synthesis of well-defined Pd@Pt core–shell nanoparticles (NPs) with a controlled Pt shell thickness of 0.4–1.2 nm by a facile wet chemical method and their electrocatalytic performances for ORR as a function of shell thickness are reported. Pd@Pt NPs with predetermined structural parameters were prepared by in situ heteroepitaxial growth of Pt on as-synthesized 6 nm Pd NPs without any sacrificial layers and intermediate workup processes, and thus the synthetic procedure for the production of Pd@Pt NPs with well-defined sizes and shell thicknesses is greatly simplified. The Pt shell thickness could be precisely controlled by adjusting the molar ratio of Pt to Pd. The ORR performance of the Pd@Pt NPs strongly depended on the thickness of their Pt shells. The Pd@Pt NPs with 0.94 nm Pt shells exhibited enhanced specific activity and higher durability compared to other Pd@Pt NPs and commercial Pt/C catalysts. Testing Pd@Pt NPs with 0.94 nm Pt shells in a membrane electrode assembly revealed a single-cell performance comparable with that of the Pt/C catalyst despite their lower Pt content, that is the present NP catalysts can facilitate low-cost and high-efficient applications of PEMFCs.