The effects of AlGaAs capping on InAs quantum dots self-assembled on GaAs are investigated. It is observed that, the photoluminescence intensity becomes stronger up to twice when Al is incorporated into the cap layer. In the mean time, the full width at half maximum of the photoluminescence spectrum becomes narrower, the peak splitting between the ground and first excited exciton levels becomes wider, and the photoluminescence peak wavelength becomes longer. With considerations of the increased barrier height and the changed microstructures of the quantum dots induced by AlGaAs capping, the mechanisms of the observed improvements are discussed.