This work reports a highly efficient capsule‐structured CuO−ZnO−Al2O3@HZSM‐5 (CZA@HZSM‐5‐EtOH) core‐shell catalyst for the direct conversion of syngas to dimethyl ether by a facile physical coating method with ethanol as a binder through coating micrometer‐sized HZSM‐5 shell on the prior‐shaped millimeter‐sized CZA core, it shows 2.9 times higher CO conversion with the 2.7 times higher turnover frequency and 9.2 times higher dimethyl ether space‐time yield of the CZA@HZSM‐5‐SS catalyst prepared by a similar process but with silica sol as a binder (315.5 vs 34.3 gDME kgcat−1 h−1). The relationship between the structure and performance was explored by a variety of characterization techniques including X‐ray diffraction (XRD), scanning electron microscope (SEM), energy dispersive spectrometer (EDS), X‐ray diffraction (XRD), ammonia temperature programmed desorption (NH3‐TPD), nitrogen adsorption‐desorption, H2‐temperature‐programmed reduction (H2‐TPR) and H2‐TPR after oxidation of the samples by N2O. CZA@HZSM‐5‐EtOH can be considered as a highly efficient and practical catalyst for dimethyl ether synthesis from syngas. This work presents a new avenue to design other bifunctional catalysts for the cascade reactions in which the raw materials can be converted into an intermediate over the core and then the as‐formed intermediate over the core can be subsequently converted into the final product.