Cement rotary kilns using refractories require excellent refractoriness, thermal shock stability and corrosion resistance due to the cyclic rotation and feeding–discharging of cement clinker. In this paper, a kind of magnesia–alumina spinel refractory containing coating structured aggregates were prepared by wrapping spinel fines on the surface of magnesia aggregates. The fracture behavior and corrosion resistance of prepared refractories were characterized by three-point bending test combined with digital image correlation, acoustic emission technique, and static slag resistance method. The results indicate that by changing the distribution of spinel to make coating structure aggregates, the alumina content is effectively reduced while a more uniform and extensive distribution of spinel phase is achieved. Compared with the merchant magnesia–alumina spinel refractory (10% Al₂O₃) with pre-synthetic spinel aggregates, the magnesia–alumina spinel refractory (5% Al₂O₃) with spinel coating aggregates has the improved mechanical strength and corrosion resistance, and maintains the thermal shock resistance.