Integrated CO2 capture and conversion (ICCC) into valuable chemicals such as CH4 and CO is a promising approach to mitigate anthropogenic CO2 emissions. In this work, we prepared a series of metal oxide (MxOy, M = Mg, Al, Mn, Y, Zr, La, and Ce)‐doped Ni/CaO dual‐function materials (DFMs) and applied them to the ICCC process. The property–performance relationship of the DFMs was studied, and the conversion mechanism of the captured CO2 was explored. For any DFM at any ICCC cycle (20 cycles in total), the CO2 captured at the carbonation stage was completely released as CH4, CO, and CO2 at the conversion stage. Among all DFMs, Ni/CaZr(O) showed the best ICCC performance because of its good thermal stability. The conversion of captured CO2 on the DFMs proceeded via a two‐step mechanism, where CO2 was first released from CaCO3 and then converted into CH4 at Ni sites and CO at CaO sites.