The invention relates to a stepwise hydrothermal method for preparing hydrated alumina coated tungsten oxide powder. The stepwise hydrothermal method comprises the steps of respectively preparing WO3 suspension liquid and a hydrated alumina solution containing AlO(OH) colloid particles by virtue of a hydrothermal method, mixing the WO3 suspension liquid with the hydrated alumina solution after cooling, uniformly stirring, standing to obtain precipitates, carrying out vacuum filtration on the precipitates, cleaning, and drying, so as to obtain the hydrated alumina coated tungsten oxide powder. By virtue of the stepwise hydrothermal method, hydrated alumina is combined with tungsten oxide by virtue of a van der waals force, and hydrated alumina is a colloid which has a repulsive force with isotropic colloids, so that the particles can be separated; meanwhile, the surface of tungsten oxide can be uniformly coated with hydrated alumina, so that the deposition of tungsten oxide is impeded, the growth of tungsten oxide is inhibited, and grains are refined; therefore, the powder prepared by virtue of the stepwise hydrothermal method is good in dispersibility, the particle sizes of the grains are relatively small, and the powder is nano-scale powder.