α-Fe2O3 nanoneedles were directly grown on the surface of Al2O3 tubes by a cost-effective hydrothermal method. In addition, the construction of Au nanoparticle-loaded SnO2/α-Fe2O3 core/shell heterostructure was fabricated by employing pulsed laser deposition (PLD) and DC-sputtering methods Gas sensors were fabricated from Au@SnO2/α-Fe2O3 core-shell nanoneedles on Al2O3 tubes, and their sensing properties have investigated for response to various target gases. The results indicated that the sensor based on Au@SnO2/α-Fe2O3 core-shell nanoneedles showed superior selectivity toward triethylamine (TEA) gas, giving a response of 39–100 ppm, which was higher than that of α-Fe2O3 nanoneedles and SnO2/α-Fe2O3 core-shell nanoneedles. Moreover, the sensor based on Au@SnO2/α-Fe2O3 core-shell nanoneedles showed an obvious better linearity (R = 0.9975) of sensing characteristics than of two other sensors. The enhanced sensing properties are discussed with the semiconductor depletion layer model along with the Schottky contact and N–N heterojunction theory.