The present invention relates to a process for preparing a cobalt-containing Fischer-Tropsch synthesis catalyst with good physical properties and high cobalt loading. In one aspect, the present invention provides a process for preparing a supported cobalt-containing Fischer-Tropsch synthesis catalyst, said process comprising the following steps of: (a) impregnating a support powder or granulate with a cobalt-containing compound; (b) calcining the impregnated support powder or granulate and extruding to form an extrudate; or extruding the impregnated support powder or granulate to form an extrudate and calcining the extrudate; and (c) impregnating the calcined product with a cobalt-containing compound; or forming a powder or granulate of the calcined product, impregnating with a cobalt-containing compound and extruding to form an extrudate.