The global greenhouse effect makes carbon dioxide (CO2) emission reduction an important task for the world, however, CO2 can be used as injected fluid to develop shale oil reservoirs. Conventional water injection and gas injection methods cannot achieve desired development results for shale oil reservoirs. Poor injection capacity exists in water injection development, while the time of gas breakthrough is early and gas channeling is serious for gas injection development. These problems will lead to insufficient formation energy supplement, rapid energy depletion, and low ultimate recovery. Gas injection huff and puff (huff-n-puff), as another improved method, is applied to develop shale oil reservoirs. However, the shortcomings of huff-n-puff are the low sweep efficiency and poor performance for the late development of oilfields. Therefore, this paper adopts firstly the method of Allied In-Situ Injection and Production (AIIP) combined with CO2 huff-n-puff to develop shale oil reservoirs. Based on the data of Shengli Oilfield, a dual-porosity and dual-permeability model in reservoir-scale is established. Compared with traditional CO2 huff-n-puff and depletion method, the cumulative oil production of AIIP combined with CO2 huff-n-puff increases by 13,077 and 17,450 m3 respectively, indicating that this method has a good application prospect. Sensitivity analyses are further conducted, including injection volume, injection rate, soaking time, fracture half-length, and fracture spacing. The results indicate that injection volume, not injection rate, is the important factor affecting the performance. With the increment of fracture half-length and the decrement of fracture spacing, the cumulative oil production of the single well increases, but the incremental rate slows down gradually. With the increment of soaking time, cumulative oil production increases first and then decreases. These parameters have a relatively suitable value, which makes the performance better. This new method can not only enhance shale oil recovery, but also can be used for CO2 emission control.