The conversion of CO2, captured from flue gases, into synthetic natural gas (SNG) aims to create a closed carbon cycle, where excess H2 produced from renewables is utilized to transform CO2 released from existing conventional power plants into a reliable and high energy density carrier, that is CH4. In the last five years, extensive research effort has been dedicated to the synthesis and optimization of composite materials for the realization of this process. These materials, also known as dual-function materials or DFMs, typically consist of an alkaline metal oxide or carbonate phase, along with a Ru or Ni metallic phase supported on a high surface area carrier. The DFMs incorporate both sorptive and catalytic capabilities, capturing the CO2 in the initial sorption step and then converting it into CH4 upon H2 inflow. The dispersion of the sorptive and catalytically active phases, the CO2 affinity of the alkaline phase, the reducibility of the supported metals, and the selectivity towards CH4 production are some of the parameters influencing their performance. Hereby, we aim to present the most recent works dedicated to the development and optimization of such dual-function materials to be used in the combined capture and methanation of CO2.