Eight Dawson‐type polyoxometalates were successfully prepared and used in an octanal/air oxidative desulfurization (ODS) system for model oil. Among which, the classical 2:18 polyoxometalate K6α‐P2W18O62·14H2O exhibited the best catalytic performance with a sulfur removal ratio of 99.63%. Then, K6α‐P2W18O62·14H2O was supported on graphene oxide (GO) to afford K6P2W18O62/GO using the hydrothermal method. Due to the in situ adsorption of the supported catalysts in the ODS process, the sulfur removal ratio was 96.10% without extraction treatment. Compared with the octanal/air ODS system using pure GO as an adsorbent for the oxidation products, the sulfur removal ratio increased from 89.21 to 96.10%, and the n‐octanal/S molar ratio decreased from 24 to 4. To facilitate the recycling of the catalyst and avoid catalyst loss, K6α‐P2W18O62·14H2O was supported on magnetic graphene oxide (mGO) to afford K6P2W18O62/mGO. The results showed that the supported catalyst could be easily recovered with the aid of an external magnetic field, while maintaining high catalytic activity during five cycles of reuse with little catalyst loss. Furthermore, all the prepared materials were analyzed by a series of characterizations, and the reaction mechanism of the studied system was proposed through contrast tests and GC‐MS characterization analysis. In situ ultra‐deep desulfurization of fuel oil was achieved by the combination of catalytic air oxidation and adsorption.