α-Al2O3 was coated on the powder surface using the precipitation method to improve the pre-oxidation resistance of molybdenum disilicide in thermal barrier coatings (TBCs). The coating effects of four different aluminum sources (Al(NO3)3·9H2O) to MoSi2 mass ratios were evaluated by viscosity and micro-morphology. The shell-forming effects on the powder size and post-treatment were thoroughly analyzed to meet the requirements for practical application in TBCs. The results showed that the precipitation method was superior to the sol-gel process in terms of the shell thickness obtained. Optimal shell-forming was generated at 1200 °C in an inert atmosphere. A bonding layer (Al6Si2O13) would be formed at the core-shell interface, further preventing oxidation penetration. The self-healing particles MoSi2@α-Al2O3 can effectively seal micro-cracks (width below 300 nm) because of the fluidity of SiO2 at working temperatures.