In this work, we showed that immersing polymethyl methacrylate (PMMA)/poly alpha olefins (PAO6) micro-capsules into the porous matrix can improve the lubrication properties of porous alumina ceramics dramatically. PMMA/PAO6 microcapsules were synthesized by microemulsion polymerization, and the microcapsules were immersed in the porous alumina ceramic matrix by vacuum impregnation. The lubrication behaviors of the porous alumina ceramics with PMMA/PAO6 microcapsules have been investigated under different loads. As compared with the unprocessed porous alumina ceramics, the coefficient of friction (COF) of the porous ceramics impregnated with microcapsules could be reduced to 4% of that without microcapsules, and the wear rate could be reduced by two orders of magnitude. No obvious change of the COF was noticed for the matrices with different pore sizes. The good self-lubrication properties were achieved by releasing the PAO6 in the micro-capsules during the friction process.