Mesoporous nanoparticles composed of γ-Al2O3 cores and α-Fe2O3 shells were synthesized in aqueous medium. The surface charge of γ-Al2O3 helps to form the core–shell nanocrystals. The core–shell structure and formation mechanism have been investigated by wide-angle XRD, energy-dispersive X-ray spectroscopy, and elemental mapping by ultrahigh-resolution (UHR) TEM and X-ray photoelectron spectroscopy. The N2 adsorption–desorption isotherm of this core–shell materials, which is of type IV, is characteristic of a mesoporous material having a BET surface area of 385 m2 g−1 and an average pore size of about 3.2 nm. The SEM images revealed that the mesoporosity in this core–shell material is due to self-aggregation of tiny spherical nanocrystals with sizes of about 15–20 nm. Diffuse-reflectance UV/Vis spectra, elemental mapping by UHRTEM, and wide-angle XRD patterns indicate that the materials are composed of aluminum oxide cores and iron oxide shells. These Al2O3@Fe2O3 core–shell nanoparticles act as a heterogeneous Fenton nanocatalyst in the presence of hydrogen peroxide, and show high catalytic efficiency for the one-pot conversion of cyclohexanone to adipic acid in water. The heterogeneous nature of the catalyst was confirmed by a hot filtration test and analysis of the reaction mixture by atomic absorption spectroscopy. The kinetics of the reaction was monitored by gas chromatography and 1H NMR spectroscopy. The new core–shell catalyst remained in a separate solid phase, which could easily be removed from the reaction mixture by simple filtration and the catalyst reused efficiently.