The influence of the heteroatom (nitrogen, oxygen, and sulfur) on the course of the palladium‐catalysed intramolecular reactions of aryl iodides and aldehydes having heteroatom‐containing tethers has been explored by an extensive experimental-computational (DFT) study. Two series of substrates were considered, namely aldehydes bearing either the α‐(2‐iodobenzylheteroatom) or β‐(2‐iodophenylheteroatom) moieties. While some experimental differences were observed when changing from nitrogen to oxygen or sulfur in the 2‐iodobenzyl series, the aldehydes in which the heteroatom is directly bonded to the aromatic ring showed common chemical behaviour regardless of the nature of the heteroatom. The different reaction pathways leading to the experimentally observed reaction products were studied by computational means. Our calculations suggest that in all cases the initial nucleophilic addition involving a σ‐aryl-PdII intermediate is preferred over the competing concerted metallation-deprotonation (CMD) process. Keywords: Homogeneous catalysis / Palladium / Cyclization / Heterocycles / Density functional calculations