A novel micro-/mesoporous composite material W-MCM-41 was synthesized through self-assembly of the zeolite W nanocrystal precursor. The hierarchical structure material inherited the combining advantages of the ordered mesopores of MCM-41 and the modulated acid properties of zeolite W. Different crystallization times of zeolite W and various molar ratios of CTAB/SiO2 were optimized to achieve good physicochemical properties of micro-/mesoporous materials, which were used to prepare the corresponding CoMo-supported catalysts. Various characterization methods were adopted to analyze the relationship between the catalytic performance and physicochemical properties of series catalysts. The CoMo/WMA catalyst presented the highest hydrodesufurization activity (93.4%) and the best octane number preservability (ΔRON = −1.3 unit), which could be attributed to desirable texture of support, moderate metal−support interaction, and highest sulfidation degree of active phases. The distribution of sulfide compounds in hydrotreating products was compared with that of feedstock. Moreover, the formation mechanism of the composite material was discussed.