The ability to tune thin oxide coatings by wet-chemistry is desirable for many applications, yet it remains a key synthetic challenge. In this work, we introduce a general colloidal atomic layer deposition (c-ALD) synthesis to grow an alumina shell with tunable thickness around nanocrystalline cores of various compositions spanning from ionic semiconductors (i.e., CsPbX3, with X = Br, I, Cl) to metal oxides and metals (i.e., CeO2 and Ag). The distinctive characteristics of each core (i.e., emission, facile surface functionalization, stability) allowed us to optimize and to elucidate the chemistry of the c-ALD process. Compared to gas-phase ALD, this newly developed synthesis has the advantage of preserving the colloidal stability of the nanocrystalline core while controlling the shell thickness from 1 to 6 nm. As one example of the opportunities offered by the growth of a thin oxide shell, we study the anion exchange reaction in the CsPbX3 perovskites nanocrystals by in situ X-ray diffraction, which had been impeded so far by the instability of this class of materials and by the fast exchange kinetics.