Fischer–Tropsch reaction is applied to produce ultra-clean fuels based on the synthesis gases. Supported cobalt catalysts are used for Fischer–Tropsch synthesis due to their high stability and good catalytic activity. These catalysts are generally prepared by wet chemical methods which involve impregnation, drying and calcination. A new approach to the analysis of degradation of catalysts under thermal stress during the various steps of catalyst preparation has been applied to the support (γ-Al2O3) and to the catalysts (10 wt% Co/Al2O3). Low particle damages occur when the catalyst is prepared by impregnation. Thus, a rate of about 1 wt% of fine particles with sizes less than 63 µm has been quantified. However, the effect of temperature during drying at 100 °C and calcination at 400 °C becomes significant: a degradation rate of 2% and 5% is noted for temperatures of 100 °C and 400 °C, respectively. These results show particle degradation through cleavage and fragmentation. These mechanisms result in the initial heterogeneous structure (fractures and cracks) of the support which reduces the mechanical resistance of the catalyst and initiates the rupture of the particles under an increase in temperature. To describe the particle breakage, a numerical approach was implemented under thermal stresses on modeled Co/Al2O3 ring particles. Calculations were performed using COMSOL Multiphysics® (Structural Mechanics Module) following a 2D geometry. The effect of temperature, crack height (radial and axial components) and porosity on the particle breakage were studied. The results obtained highlighted the solid breakage at high temperature (calcination phase), high-size cracks and low porosity.