La-modified ZrO2 with 10 mol% La was prepared by three different methods, namely co-precipitation, impregnation, and mechanical mixing and employed as cobalt catalyst supports. The use of La-modified ZrO2 prepared by mechanical mixing resulted in higher cobalt dispersion and higher CO hydrogenation activity than those supported on pure oxide (La2O3 and ZrO2) and La-modified ZrO2 obtained by the other methods. As revealed by XRD and TEM, an intimate contact and/or incorporation of La atoms in ZrO2 may occur on the La-modified ZrO2 prepared by co-precipitation and impregnation, which induced a stronger interaction between cobalt and the support. On the other hand, the presence of amorphous La2O3 in ZrO2 by mechanical mixing facilitated cobalt reducibility as shown by lower reduction temperature in the TPR profile.