Hexagonal tungsten trioxide (h-WO3) microspheres were synthesized by a hydrothermal method, with ammonium paratungstate and hydrochloric acid as the raw materials. The effects of the process parameters on the phase compositions and morphologies of the products were investigated. The results showed that the hydrothermal temperature and molar ratio of the raw materials were important for avoiding the formation of impurity phases, namely WO3·0.33H2O and WO3·H2O. The pure-phase h-WO3 microspheres had a specific surface area of 40.0 m2/g, and were assembled from nanorods. The microspheres were used to support Pd, and the obtained Pd/h-WO3 catalyst showed excellent catalytic activity in the hydrogenation of styrene under mild conditions, with a turnover frequency of 3050 h−1. The catalyst was recycled five times without loss of activity, i.e., the supported catalyst had good recyclability.