The thermal activation of a silica-stabilized γ-alumina impacts positively on the oxidative dehydrogenation of ethylbenzene (EB) to styrene (ST). A systematic thermal study reveals that the transition from γ-alumina into transitional phases at 1050 °C leads to an optimal enhancement of both conversion and selectivity under pseudo-steady state conditions; where active and selective coke have been deposited. The effect is observed in the reaction temperature range of 450–475 °C at given operation conditions resulting in the highest ST yield, while at 425 °C this effect is lost due to incomplete O2 conversion. The conversion increase is ascribed to the ST selectivity improvement that makes more O2 available for the main ODH reaction. The fresh aluminas and catalytically active carbon deposits on the spent catalysts were characterized by gas adsorption (N2 and Ar), acidity evaluation by NH3-TPD and pyridine adsorption monitored by FTIR, thermal and elemental analyses, solubility in CH2Cl2 and MALDI-TOF to correlate the properties of both phases with the ST selectivity enhancement. Such an increase in selectivity was interpreted by the lower reactivity of the carbon deposits that diminished the COx formation. The site requirements of the optimal catalyst to create the more selective coke is related to the higher density of Lewis sites per surface area, no mixed Si–Al Brønsted sites are formed while the acid strength of the formed Lewis sites is relatively weaker than those of the bare alumina.