Mitigation of anthropogenic climate change is expected to require large‐scale deployment of carbon dioxide removal strategies. Prominent among these strategies is direct air capture with sequestration (DACS), which encompasses the removal and long‐term storage of atmospheric CO2 by purely engineered means. Because it does not require arable land or copious amounts of freshwater, DACS is already attractive in the context of sustainable development, but opportunities to improve its sustainability still exist. Leveraging differences in the chemistry of CO2 and water adsorption within porous solids, here, the prospect of simultaneously removing water alongside CO2 in direct air capture operations is investigated. In many cases, the co‐adsorbed water can be desorbed separately from chemisorbed CO2 molecules, enabling efficient harvesting of water from air. Depending upon the material employed and process conditions, the desorbed water can be of sufficiently high purity for industrial, agricultural, or potable use and can thus improve regional water security. Additionally, the recovered water can offset a portion of the costs associated with DACS. In this Perspective, molecular‐ and process‐level insights are combined to identify routes toward realizing this nascent yet enticing concept.