A core-shell nanostructure of gold nanoparticles@covalent organic framework (COF) loaded with palladium nanoparticles (AuNPs@COF-PdNPs) was designed for the rapid monitoring of catalytic reactions with surface-enhanced Raman spectroscopy (SERS). The nanostructure was prepared by coating the COF layer on AuNPs and then in situ synthesizing PdNPs within the COF shell. With the respective SERS activity and catalytic performance of the AuNP core and COF-PdNPs shell, the nanostructure can be directly used in the SERS study of the catalytic reaction processes. It was shown that the confinement effect of COF resulted in the high dispersity of PdNPs and outstanding catalytic activity of AuNPs@COF-PdNPs, thus improving the reaction rate constant of the AuNPs@COF-PdNPs-catalyzed hydrogenation reduction by 10 times higher than that obtained with Au/Pd NPs. In addition, the COF layer can serve as a protective shell to make AuNPs@COF-PdNPs possess excellent reusability. Moreover, the loading of PdNPs within the COF layer was found to be in favor of avoiding intermediate products to achieve a high total conversion rate. AuNPs@COF-PdNPs also showed great catalytic activities toward the Suzuki-Miyaura coupling reaction. Taken together, the proposed core-shell nanostructure has great potential in monitoring and exploring catalytic processes and interfacial reactions.