A series of nickel-based catalysts supported on natural nano-mesoporous material halloysite nanotubes were prepared by the incipient-wetness impregnation method. The methanation activity of the catalysts was tested in a fixed-bed reactor. The catalysts were characterized by transmission electron microscopy, scanning electron microscopy, inductively coupled plasma-atomic emission spectrometry, N2 physical adsorption, X-ray diffraction, H2 temperature-programmed reduction, CO temperature-programmed desorption, and H2-pulse chemisorption. Acid etching increased the inner diameter of the halloysite nanotubes and precisely regulated the pore structures of the supports, which made more active metals Ni enter the pores. The dispersion of the active component Ni was promoted and the particle size decreased, thus improving the activity of the catalysts. The acid-etched halloysites with a 10 wt % nickel loading showed the best catalytic activity and good stability with a high CO conversion of 100% and a CH4 yield of 97.9% at 350 °C with a 3:1 molar ratio of H2 to CO under 0.1 MPa and 15,000 mL·g–1·h–1. Acid-etched halloysites provide a possibility for natural nano-mesoporous materials to be used as methanation catalyst supports.