Pt catalyst supported on nanocapsule MWCNTs–Al2O3 (multi-walled carbon nanotubes, MWCNTs) catalyst has been prepared by microwave-assisted polyol process (MAPP). The results of electrochemical measurements show that the nanocapsule Pt/MWCNTs–Al2O3 catalyst has higher activity due to more uniform dispersion and smaller size of Pt nanoparticles, and higher stability ascribed to the stronger metal–support interaction (SMSI) between Pt nanoparticles and nanocapsule support than in Pt/MWCNTs. Furthermore, the carbon-riveted nanocapsule Pt/MWCNTs–Al2O3 catalyst has been designed and synthesized on the basis of in situ carbonization of glucose. The physical characteristics such as X-ray diffraction (XRD), energy dispersive analysis of X-ray (EDAX), transmission electron microscopy (TEM) and X-ray photoelectron spectroscopy (XPS) have indicated that α-Al2O3 indeed entered into the inside of the MWCNTs and formed a nanocapsule support of MWCNTs with α-Al2O3 as stuffing. The accelerated potential cycling tests (APCT) show that carbon-riveted nanocapsule Pt/MWCNTs–Al2O3 possesses 10 times the stability of Pt/C and has 4.5 times the life-span of carbon-riveted Pt/TiO2–C reported in our previous work. The significantly enhanced stability for carbon-riveted nanocapsule Pt/MWCNTs–Al2O3 catalyst is attributed to the reasons as follows: the inherently excellent mechanical resistance and stability of α-Al2O3 and MWCNTs in acidic and oxidative environments; SMSI between Pt nanoparticles and the nanocapsule support; the anchoring effect of the carbon layers formed during the carbon-riveting process (CRP); the increase of Pt(0) composition during CRP.