A facile synthesis route, named dual-layer crystal growth method, was developed for preparing Pd-based zeolite capsule catalyst. The millimeter-sized zeolite capsule catalyst (Pd/SiO2-SZ) with a core-shell structure was prepared by a developed dual-layer crystal growth method: coating Silicalite-1 and H-ZSM-5 zeolite orderly as double shells encapsulating the Pd/SiO2 core catalyst. We employed the prepared Pd/SiO2-SZ zeolite capsule catalyst for the direct synthesis of liquefied petroleum gas (LPG) from syngas (CO + H-2). In the reaction, the zeolite capsule catalyst showed excellent LPG selectivity than the single core catalyst of Pd/SiO2 and the physical mixture catalyst prepared by a simply mixing core and shell catalysts. The Pd/SiO2-SZ realized the highest LPG selectivity of 34.4% with CO conversion of 14.1%. Moreover, the optimal reaction temperature and pressure in the reaction for LPG direct synthesis from syngas over Pd/SiO2-SZ catalyst were 623 K and 5.0 MPa, respectively. The high performance of zeolite capsule catalyst Pd/SiO2-SZ was attributed to the enforced mass transfer diffusion from inside to outside of the catalyst.