In 2022, 2.2 billion people lacked safely managed drinking water, and estimates predict an increase of 55% of the global water demand by 2050. One target of Agenda 2030 is to accelerate the pace of progress for drinkable water by six times. To meet this target, devices and materials that can be used as membranes or substrates for water/oil separation and water desalination applications have been widely studied. Ceramic porous materials are good candidates for such applications because they are stable, and their porosity can guarantee high permeability. In this study, porous alumina with vertically aligned pores was prepared by using the freeze-casting technique. This preparation method is widely used to obtain highly porous materials; however, the optimization of the porous structure in relation to water applications has not yet been deeply investigated. In this study, samples with different degrees of porosity were obtained, and the effect on water affinity properties was studied. A slurry composed of α-alumina powder, water as solvent (56, 77 w/v%), poly(vinyl alcohol) as binder (10, 15, 25 w/w%), and polyethylene glycol as dispersant (5 w/w%) underwent directional freezing (freezing temperature of −40 °C with freezing rate of −10 °C/min), followed by sublimation and further sintering at 1550 °C for 4 h. A highly porous sample, with 97% open porosity and low thermal conductivity (6.39 ± 0.05 W/m·K) with respect to bulk alumina, was obtained. The high macroporosity also ensures a good water affinity, both for water absorption and water uptake (9 mm s–1), which was investigated using the apparatus utilized for the density measurement, making the sample a good candidate for water-related applications such as water desalination and water–oil separation.