Some pallets are made from treated wood so I wouldn't use it as mulch. But I try to keep my garden as free of noxious chemicals as possible.

If a shipping pallet were made of Pressure Treated wood they would be too expensive for shippers to use. Reusable shipping pallets are made of plastic or metal today, wooden pallets are meant for one time use and are made as cheaply as possible.
Some places that grind these wooden shipping pallets into mulch might also grind other waste wood that might include PT wood, but otherwise the mulch made of shipping pallets is a fairly good mulch material.

I would not be certain that there were no chemicals in pallet wood. This is from "Wikipedia:"

"Discarded wooden pallets should not be used for firewood or crafts unless it has been determined that the wood in these pallets has not been treated with wood preservatives, fungicides and/or pesticides. Various pyrethrins and propiconazole are common treatments for wooden pallets. In addition, imported palletized goods are routinely fumigated with highly toxic pesticides. During use, harmful materials or chemicals also may spill on the pallet wood and be absorbed."

I've handled (i.e. reused) a lot of pallets and seen a lot more stacked up at recycling yards. And I don't remember ever seeing one that was obviously treated with CCA (the old green stuff that has been mostly phased out). Pallets aren't treated that way.

I swear we had an extensive thread on this earlier but I can't find it. There are international codes for shipping pallets because of invasive species, and they are mostly heat-treated now. They used to use methyl bromide, which is a gas and would not stock around too long, and even that has been phased out.

Below is a link to some info on that in another forum.

Here is a link that might be useful: Pallet thread

Here's another one.

Here is a link that might be useful: More on pallets