In this article, the hydrothermal stability and change in the physicochemical properties of supported cobalt catalysts modified with Zn, P, and Zr have been studied for slurry‐phase Fischer–Tropsch synthesis (FTS) at 230°C and 2.0 MPa. The Co/P/γ‐Al₂O₃ exhibited weaker interactions between cobalt oxides and alumina support than other catalysts. The support of all the Co catalysts underwent phase transformation of γ‐Al₂O₃ into boehmite (AlO(OH)) during hydrothermal treatment at 250°C for 12 h, except Co/P/γ‐Al₂O₃, which was hydrothermally stable in the presence of H₂O. The initial CO conversion increased with increasing number of Co surface sites during FTS. However, CO conversion decreased when H₂O was cofed, causing a shift in product distribution from C2–C4 to C5+ hydrocarbons. The CO conversion and product distribution were partially reversible at 0–42.7% H₂O in the feed stream. The lower adsorption capacity of H₂O on the catalysts caused higher CO conversions under H₂O‐rich condition. The catalytic activity of Co/P/γ‐Al₂O₃ was least affected by the co‐fed H₂O, while that of Co/Zr/γ‐Al₂O₃ was strongly influenced by H₂O concentration in the feed stream. The Co/P/γ‐Al₂O₃ did not exhibit phase transformation of γ‐Al₂O₃ to AlO(OH) during slurry‐phase FTS.