CO2 as a greenhouse gas causes a series of issues, and catalytic utilization of CO2 to fuels is a favorable strategy. Herein, we report the discovery in CO2 hydrogenation reaction where C5+ yield can be evidently improved by encapsulating ZnFe2O4 inside ZSM‐5, in which the micro‐environments of core‐shell components can be tuned. For the ZnFe2O4, the K promoter makes the FeC structure more electron deficient than the Na, which contributes to the formation of long‐chain olefins. ZSM‐5 with K or Ce modification presents enhanced adsorption ability of alkene, then promoting aromatization and isomerization reactions of alkenes. Compared with Ce, K‐ZSM‐5 contributes to isomerization rather than aromatization, forming more isoparaffins. In this work, regulating the microenvironment of capsule catalysts provides a new idea for the design of efficient tandem catalysts, and expands the ability of hybrid catalysts against other catalysts, thus presenting an excellent catalytic efficiency for CO2 upgrading.