The design and development of a highly efficient and stable catalyst for styrene (ST) obtained from ethylbenzene (EB) dehydrogenation reaction is urgently required because a commercial Fe–K-based catalyst often undergoes severe deactivation resulted from the active phase decomposition into inactive ferrite compound at high temperatures (>600 °C). Herein, ultra-fine Al2O3 nanofibers which are further self-assembled to form uniform rod-like morphology (R–Al2O3) were fabricated via a facile sol-gel strategy and further utilized as support to dispersing vanadium species (V/R–Al2O3). The physicochemical properties of the samples were systematically characterized by XRD, Raman, SEM, TEM, H2-TPR, CO2-TPD, XPS, and 27Al MAS NMR techniques. It is found that except that R–Al2O3 support has the merits of a high specific surface area, lager pore volume, and uniform mesopore structure, the presence of the unsaturated pentacoordinate Al3+ ions plays a pivotal role in better dispersing V active species, with the existence of the isolate and/or polymeric forms. As compared to V/C–Al2O3 (commercial Al2O3 as support), the V/R–Al2O3 catalyst endows outperformed catalytic performances for oxidative dehydrogenation of ethylbenzene in the presence of CO2 (OEBDH-CO2). In which, the V/R–Al2O3 catalyst gives a high EB catalytic activity and good stability without significant deactivation phenomenon being detected even after the third regeneration test. Such a result can be principally ascribed to that R–Al2O3 support with excellent textural properties can better disperse V species so as to expose more active sites, which is beneficial for improving the conversion efficiency of EB. More importantly, keeping/regaining high valence state of V species in the V/R–Al2O3 catalyst under CO2 as a soft oxidant effectively promotes Mars-Van Krevelen redox cycle, further suppressing the catalyst deactivation. This work provides a rational design strategy for a high efficiency and stable dehydrogenation catalyst by optimizing the textural properties of Al2O3 support and introducing the unsaturated pentacoordinate Al3+ ions.