Dimethyl ether (DME) is an industrially important intermediate, as well as a promising clean fuel, but the effective production through traditionally consecutive steps from syngas to methanol and then to DME has been hindered by the poorly organized structure of the conventional physical mixture catalyst. Here, a novel zeolite capsule catalyst possessing a core-shell structure (millimeter-sized core catalyst and micrometer-sized acidic zeolite shell) was proposed initially through a well-designed aluminum migration method using the core catalyst as the aluminum resource and for the first time was applied to accomplish the DME direct synthesis from syngas. The selectivity of the expected DME on this zeolite capsule catalyst strikingly exceeded that of the hybrid catalyst prepared by the traditional mixing method, while maintaining the near-zero formation of the unexpected alkanes byproduct. The preliminary methanol synthesis reaction on the core catalyst and the following DME formation from methanol inside the zeolite shell cooperated concertedly and promoted mutually. This zeolite capsule catalyst with a synergetic confinement core-shell structure can be used to efficiently realize the combination of two and more sequential reactions with many synergistic effects.