Capsule catalysts offer a unique spatial confinement effect, which effectively minimizes byproduct formation, enhances catalyst life, and promotes tandem reactions, thus reducing energy, time, and raw material consumption. This review presents an overview of recent advances and research progress in capsule catalysts, highlighting major breakthroughs in preparation strategies over the past decade. Innovative synthesis methods are discussed based on synthesis principles, difficulty, and effectiveness, along with an analysis of growth mechanisms and the advantages and disadvantages of zeolite shells. Application status of capsule catalysts in high‐value hydrocarbon synthesis from syngas, low‐carbon alkane dehydroaromatization, and CO2 hydrogenation reactions is explored. Finally, challenges and future prospects for scientific research and industrial applications of capsule catalysts are addressed.