The Mo–Fe/HZSM-5 catalyst was prepared by the impregnation method using citric acid to form Fe3+ and Mo6+ chelates in the impregnation solution. The structure, acidity and the catalytic performance for the macrolactonization of methyl 15-hydroxypentadecanoate to cyclopentadecanolide over Mo–Fe/HZSM-5 catalyst in comparison with unmodified HZSM-5, Fe/HZSM-5 and Mo/HZSM-5 catalysts were studied. The results indicate that the optimum ratio of Mo/Fe is 2.5. The Fe2(MoO4)3 and Al2(MoO4)3 species are formed on the Mo–Fe/HZSM-5 catalyst, with an increase of strength and slight diminution of the amount of acid sites. The Mo–Fe/HZSM-5 catalyst exhibited high activity for the selective macrolactonization of methyl 15-hydroxypentadecanoate to cyclopentadecanolide.