The novel one-step oxidation–volatilization process for separating MoO3 from pelletized MoS2 concentrate supported on a porous Al2O3-SiO2 skeleton has been demonstrated to have superior diffusion efficiency compared to the traditional two-step oxidative roasting-sublimation approach. Optimal control of pellet phase and micro-structure evolutions is crucial for maintaining a stable and breathable pellet bed throughout the roasting process, which is essential for industrial application of the new process. This work determined the phase transformations of MoS2 concentrate pellets during roasting, revealed the formation mechanisms of mullite whiskers from MoS2-Al2O3-SiO2 system and thus achieved toughening control of roasted MoS2 concentrate pellets with temperature programmed roasting (TPR). It is found that the intermediate product Al2(MoO4)3 can induce the low-temperature formation of mullite whisker. With TPR, the volatilization rate of molybdenum is 97.2%, and the compressive strength of mullite pellets reach 124.8 N. This study puts forward a feasible route with industrial significance.