A capsule catalyst for isoparaffin synthesis based on Fischer–Tropsch reaction was designed by coating a H-ZSM-5 membrane onto the surface of the pre-shaped Co/SiO2 pellet. Morphological and chemical analysis showed that the capsule catalyst had a core-shell structure. A compact, integral shell of H-ZSM-5 crystallized firmly on the Co/SiO2 substrate without crack. Syngas passed through the zeolite membrane to reach the Co/SiO2 catalyst to be converted, and all hydrocarbons formed with straight chain structure must enter the zeolite channels to undergo hydrocracking as well as isomerization in this tailor-made confined reaction environment. A narrow, anti-Anderson–Schultz–Flory law product distribution was observed on these capsule catalysts. Contrary to a mechanical mixture of H-ZSM-5 and Co/SiO2, C10+ hydrocarbons were suppressed completely on this novel capsule catalyst, and the selectivity of middle isoparaffins was considerably improved. The carbon number distribution of the products depended on the thickness of the zeolite membrane, and it was possible to selectively synthesize specified distillates, such as gasoline-range, or heavier hydrocarbons from syngas directly, by simply adjusting the thickness of the zeolite membrane of the capsule catalyst. This kind of capsule catalysts can be extended to various consecutive reaction systems as the shell and core components are independent catalysts for different reactions. At the same time, shape selectivity and space-confined effects can be expected for the reactant, intermediates and product of the sequential reactions.