Novel coated Pt@SnO2/Al2O3 supported catalyst was prepared by a continuous reduction-ultrasonic loading approach. The peculiar coated structure enables it to have better aggregation and sintering resistance and was characterized by transmission electron microscope. When used in the propane dehydrogenation reaction, coated Pt@SnO2/Al2O3 with a Pt/Sn molar ratio of 1:1.5 exhibited excellent catalytic activity and high-temperature stability compared with that using the conventional impregnation method, which further verified intense synergistic interactions between SnO2 shell and Pt core.