Pallets come in many different shapes, sizes and are made of various materials. Internationally shipped pallets are regulated in terms of how they are treated for pests to international conventions. The markings you will typically see are shown here.
Some are heat treated - where the wood is heated to 56 degrees for 30 minutes. Others are treated with Methyl Bromide - a chemical fumigation which has been banned in EU member states since 2010.
Make sure you inspect your chosen pallets carefully and choose the pallets you use according to where you are going to use them. You obviously don't want treated pallets inside your house or touching food.