In this study, a core–shell catalyst based on Fe₅C₂@ZSM-5 (ZSM-5 capped Fe₅C₂ as active phase) is prepared by the coating-carbonization method for Fischer–Tropsch synthesis (FTS). Further, the designed ZSM-5 zeolites are utilized to screen the low carbon hydrocarbons from the products generated on the iron carbide active centre, and for catalytic disassembly of the long-chain hydrocarbons into low carbon olefins. Prior to utilization, the physical–chemical properties of the prepared catalysts are systematically characterized by various techniques of X-ray diffraction (XRD), Brunauer–Emmett–Teller (BET), Fourier transform infrared (FT-IR), and scanning electron microscopy (SEM) as well as transmission electron microscopy (TEM) observations, in addition to the effects of coating-carbonization, molecular sieve coating amount, and K-doping on core–shell iron-based catalysts. Next, the performance of Fischer–Tropsch synthesis is investigated in a micro-fixed bed reactor. The results manifest that, comparing with Fe₅C₂ and a supported Fe/ZSM-5 catalyst prepared by the traditional impregnation method, the core–shell Fe₅C₂@ZSM-5 catalysts show higher CO conversion rate, reaction activity and selectivity to low-carbon olefins. Comparatively, the Fe₅C₂@ZSM-5C catalyst prepared by carbonization after the coating method exhibited more surface area, smaller average pore size, and more reactive active sites, resulting in the improvement of screening of high carbon hydrocarbons and the enhancement of selectivity to low carbon olefins, in comparison to those prepared by the carbonization-coating method. In conclusion, the K-doping catalyst had significantly improved the reactive activity of the core–shell Fe₅C₂@ZSM-5 catalyst and the selectivity to low carbon olefins, while the CO conversion on K–Fe₅C₂@ZSM-20C still remained good.