It is usually difficult to remove dibenzothiophenes from diesel fuels by oxidation with molecular oxygen as an oxidant. In the study, tungsten oxide was supported on magnetic mesoporous silica by calcination to form a magnetically separable catalyst for oxidative desulfurization of diesel fuel. By tuning different calcining temperatures, the catalyst calcined at 500 °C showed a high catalytic activity with molecular oxygen as the oxidant. Under optimal reaction conditions, the sulfur removal of DBT reached 99.9% at 120 °C after 8 h. Furthermore, the removals of 4-methyldibenzothiophene and 4,6-dimethyldibenzothiophene could also get up to 98.2% and 92.3% under the same conditions. The reaction mechanism was explored by selective quenching experiments and FT-IR spectra.