In this work, alumina-supported cobalt (Co/Al2O3) catalysts were prepared using new solvent-free mechanochemical synthesis methods: low-energy vibratory ball milling (Fritsch, Pulverisette 0) and high-energy planetary ball milling (Retsch, PM 100). γ-Al2O3 supports and Co/Al2O3 catalysts after mechanochemical treatments were characterized using a combination of techniques. The study of solid particles revealed the abrasion and fragmentation phenomena of porous γ-Al2O3 particles and pore filling under milling. Functional cobalt particles introduced by the mechanochemical synthesis were observed to be preferentially localized on the outer surface of the alumina supports. High Fischer–Tropsch reaction rates were obtained with the catalysts prepared by optimized mechanochemical synthesis conditions. The enhanced catalytic performance can be attributed to the relatively high dispersion of cobalt and the absence of inert cobalt aluminates which are usually present in the catalysts synthesized by the conventional impregnation.