Tandem catalytic reaction is a promising strategy to improve the utilization efficiency of energy and resources. The conventional hybrid catalysts cannot readily realize the precisely controlled synthesis of target products due to the unrestricted, open reaction environment. Assembling the hybrid catalyst with multiple active sites into core-shell structured capsule catalyst is one of the most effective ways to enhance the selectivity of desired products during a tandem catalysis process, because the core-shell structure offers a space-confined reaction field and synergistic effect. This review describes our recent progresses on the design and synthesis of coreshell structured zeolite capsule catalysts developed for C1 chemistry and biomass conversion. The various synthesis methods for constructing the well-defined zeolite capsule catalysts are described in detail. The applications of the capsule catalysts in catalysis, including the middle isoparaffins synthesis from syngas, one-step synthesis of dimethyl ether, and liquid-phase tandem reaction of glycerol conversion, are discussed, respectively. Our perspectives regarding the challenges and opportunities for future research in the field are also provided.