The coupled utilization of solar and thermal energy is considered an efficient way to improve the efficiency of CO2 reduction. Herein, palygorskite (Pal) clay is as a silicon source, while Co2+ is introduced to prepare two-dimensional Co2SiO4 nanosheets, and the excess of Co2+ leads to the growth of Co3O4 on the surface of Co2SiO4 to obtain an S-scheme Co2SiO4/Co3O4−x heterojunction, which facilitates the charge transfer and maintains higher redox potentials. Benefiting from black color and a narrow band gap, the cobalt oxide on the surface can increase the light absorption and produce a local photothermal effect. Under proper thermal activation conditions, the photoelectrons captured by the abundant oxygen vacancies can obtain a secondary leap to the semiconductor conduction band (CB), suppressing the recombination of electron-hole pairs, thus favoring the electron transfer on Co2SiO4/Co3O4−x. The composites not only have abundant oxygen vacancies, but also have a large specific surface area for the adsorption and activation of CO2. The yields of CH3OH on Co2SiO4/Co3O4−5% reach as high as 48.9 μmol·g−1·h−1 under simulated sunlight irradiation. In situ DRIFTS is used to explore the photocatalytic reduction CO2 mechanism. It is found that the thermal effect facilitates the generation of the key intermediate COOH* species. This work provides a new strategy for photothermal catalytic CO2 reduction by taking advantage of natural clay and solar energy.