Electrochemical carbon dioxide (CO2) conversion technologies have become new favorites for addressing environmental and energy issues, especially with direct electrocatalytic reduction of CO2 (ECO2RR) and alkali metal‐CO2 (M–CO2) batteries as representatives. They are poised to create new economic drivers while also paving the way for a cleaner and more sustainable future for humanity. Although still far from practical application, ECO2RR has been intensively investigated over the last few years, with some achievements. In stark contrast, M–CO2 batteries, especially aqueous and hybrid M–CO2 batteries, offer the potential to combine energy storage and ECO2RR into an integrated system, but their research is still in the early stages. This article gives an insightful review, comparison, and analysis of recent advances in ECO2RR and M–CO2 batteries, illustrating their similarities and differences, aiming to advance their development and innovation. Considering the crucial role of well‐designed functional materials in facilitating ECO2RR and M–CO2 batteries, special attention is paid to the development of rational design strategies for functional materials and components, such as electrodes/catalysts, electrolytes, and membranes/separators, at the industrial level and their impact on CO2 conversion. Moreover, future perspectives and research suggestions for ECO2RR and M–CO2 batteries are presented to facilitate practical applications.