Polycyclic heterocyclic derivatives have been synthesized in one step by a carbonylative double cyclization approach starting from readily available starting materials. The method is based on a regioselective 6‐endo‐dig heterocyclization – cyclocarbonylation sequence catalyzed by the PdI2/KI catalytic system under oxidative conditions, with CO (5–10 atm) as the carbonylating agent and O2 (from air, 35–70 atm) as the external oxidant and formation of water as benign coproduct. Starting from thiophenecarboxylic acids bearing an ω‐hydroxyalkynyl substituent in vicinal position, previously unknown 1H‐furo[3,4‐b]thieno[3,2‐d]pyran‐1,5(3H)‐diones, 4H‐furo[3,4‐b]thieno[2,3‐d]pyran‐4,8(6H)‐diones, 3,4‐dihydro‐1H,6H‐pyrano[4,3‐b]thieno[3,2‐d]pyran‐1,6‐diones, and 6,7‐dihydro‐4H,9H‐pyrano[4,3‐b]thieno[2,3‐d]pyran‐4,9‐diones were obtained in 45–86% yields over 21 examples. The structures of two representative products have been confirmed by X‐ray diffraction analysis.