The oxidative dehydrogenation of alkanes is a prospective method for olefins production. CO2-assisted propane dehydrogenation over metal oxide catalysts provides an opportunity to increase propylene production with collateral CO2 utilization. We prepared the chromia catalysts on various mesoporous aluminosilicate supports, such as halloysite nanotubes, nanostructured core/shell composites of MCM-41/halloysite (halloysite nanotubes for the core; silica of MCM-41-type for the shell), and MCM-41@halloysite (silica of MCM-41-type for the core; halloysite nanotubes for the shell). The catalysts have been characterized by X-ray fluorescence analysis, low-temperature nitrogen adsorption, X-ray diffraction, temperature-programmed reduction, temperature-programmed desorption of ammonia, transmission electron microscopy with energy-dispersive X-ray spectroscopy, and thermogravimetric analysis. The catalysts’ performance in carbon-dioxide-assisted propane dehydrogenation has been estimated in a fixed-bed reactor at atmospheric pressure. The most stable catalyst is Cr/halloysite, having the lowest activity and the largest pore diameter. The catalyst, Cr/MCM-41/HNT, shows the best catalytic performance: having the highest conversion (19–88%), selectivity (83–30%), and space–time yield (4.3–7.1 mol C3H6/kg catalyst/h) at the temperature range of 550–700 °C. The highest space–time yield could be related to the uniform distribution of the chromia particles over the large surface area and narrow pore size distribution of 2–4 nm provided by the MCM-41-type silica and transport channels of 12–15 nm from the halloysite nanotubes.