In this paper, we present a novel kind of supported Mo catalyst for hydrocracking high-temperature coal tar (HTCT), a byproduct of coal carbonization/gasification that has an abundant supply and is considered as a potential feedstock to refineries in the future. The catalysts are featured by their supports derived from a natural bauxite that has a low price and abundant reserves in the earth. The natural bauxite was modified via acid treatments with different acids (i.e., HCl, H2C2O4, H3PO4, HNO3, and H3BO3), and different supports were obtained. The physicochemical properties of the supports were systematically characterized, and the slurry-phase hydrocracking performance of the corresponding catalysts was assessed in a batch autoclave reactor. The results show that the modifications of the calcined natural bauxite with both HCl and H2C2O4 yield two supports with an enlarged specific surface area and pore volume and enhanced acidity as a result of the leaching of Fe2O3 and the enrichment of Al2O3. Such characteristics are responsible for the outstanding catalytic performance of the derived catalysts. Moreover, the bauxite-derived support can reduce the total catalyst cost by 50-60% compared to a conventional gamma-Al2O3 support. Our success provides an economic and effective catalyst for refiners to convert unconventional heavy feedstocks to value-added products.