The pelletization of CaO-based sorbents is necessary for its practical application in the calcium looping process. In this work, three groups of composite pellets with different structures (non-shell pellets, core-in-shell pellets with inert shells, and structurally improved core-in-shell pellets with semi-reactive shells) were prepared from limestone powder and calcium aluminate cement. For the core-in-shell pellets, 2 wt % rice husks were added to the shells to enable the formation of relatively porous and strong shells. Both the CO2 uptake and mechanical strength of the cement-bound pellets were investigated to find the promising structure for the pelletization of the CaO-based sorbent. Moreover, wet curing was used for the first time, and prolonging the curing time could be effective to enhance the mechanical strength of the pellets. It was found that the core-in-shell pellets with semi-reactive shells via adding a moderate amount of limestone to the outer shell was able to largely improve the overall CO2 uptake capacity and, meanwhile, maintain the relatively good mechanical property. Particularly, when the limestone content of the core was fixed at 80 wt %, the pellets containing 60 wt % limestone in the shell exhibited a high total CO2 uptake capacity of 2.97 g/g during 17 cycles, a value more than twice that of the pellets that did not have limestone in the shells. As a result of limestone addition, the average crushing force of the cured pellets decreased by only 11.8%. Comprehensively, considering the CO2 uptake and mechanical strength, the core-in-shell pellets consisting of highly reactive cores and semi-reactive shells were the most promising to be used in the calcium looping process.