Maintaining high conversion under the premise of high oxygenates selectivity in syngas conversion is important but a formidable challenge in Rh catalysis. Monometallic Rh catalysts provide poor oxygenate conversion efficiency, and efforts have been focused on constructing adjacent polymetallic sites; however, the one‐pass yields of C2+ oxygenates over the reported Rh‐based catalysts were mostly <20%. In this study, we constructed a monometallic Rh catalyst encapsulated in UiO‐67 (Rh/UiO‐67) with enhanced proximity to dual‐site Rh1,2‐Rhn ensembles. Unexpectedly, this catalyst exhibited high efficacy for oxygenate synthesis from syngas, giving a high oxygenate selectivity of 72.0% with a remarkable CO conversion of 50.4%, and the one‐pass yield of C2+ oxygenates exceeded 25%. The state‐of‐the‐art characterizations further revealed the spontaneous formation of an ensemble of Rh single atoms/dimers (Rh1,2) in the proximity of ultrasmall Rh clusters (Rhn) confined within the nanocavity of UiO‐67, providing adjacent Rh+‐Rh0 dual sites dynamically during the reaction that promote the relay of the undissociated CHO species to the CHx species. Thus, our results open a new route for designing highly efficient Rh catalysts for the conversion of syngas to oxygenates by precisely tuning the ensemble and proximity of the dual active sites in a confined space.