Zirconium-based metal organic frameworks (MOFs) are promising adsorbents for various applications because the materials are typically hydrothermally stable. Most MOFs are prepared as a powder, but adsorption systems commonly require mechanically stable structures, such as pellets, spheres, or tablets. Therefore, this work presents a method of encapsulating a MOF pellet with a porous membrane to produce a mechanically stable core–shell type adsorbent structure. In particular, UiO-66 pellets were coated with a 4 wt % Matrimid solution that was subsequently phase inverted in water to generate membrane porosity. The coating is approximately 25–60 μm and comprises approximately 7 wt % of the composite material. Because the porous membrane only covers the surface of the pellet, the parent MOF isotherm shape and pore size distribution are maintained. The results show that direct pressing of a MOF powder into pellets produces a mechanically weak pellet but that a Matrimid membrane coating on the pellet increases the mechanical stability of the pellet by 96% while retaining 95% of the CO2 capacity of the uncoated MOF pellet. The membrane was applied using a spray coating technique that can be adapted to different particle geometries. More broadly, the technique provides a simple route to produce mechanically stable MOF pellets without significantly impacting the adsorption capacity of the parent MOF structure.