The CO2 methanation is an important component of the “power to gas” strategy, and the Ru‐Al2O3 catalyst is considered to be a state‐of‐the‐art catalyst for this reaction. Conventional Ru‐Al2O3 is prepared by wet impregnation. Due to weak interactions between Ru and the Al2O3, construction of a controllable interface between the metal and the substrate is still challenging. In this work, a UV pulse laser is used to controllably construct ultra‐small Ru nanoparticles on defects‐rich Al2O3‐x‐L in situ grown on Al foil (Ru‐Al2O3‐x‐L) for effective photothermal CO2 methanation. The catkin‐like fluff Al2O3‐x‐L efficiently traps light to ensure the light adsorption of Ru‐Al2O3‐x‐L. The defects in Al2O3‐x‐L efficiently anchors Ru. A Strong‐Metal‐Support‐Interaction (SMSI) effect is constructed between the ultra‐small Ru nanoparticles and the Al2O3‐x‐L. The Ru‐Al2O3‐x‐L exhibits remarkable photothermal catalytic performance (CH4 yield of 12.35 mol gRu−1 h−1) in the closed batch system. Then an innovative flow reactor is established based on the one‐piece Ru‐Al2O3‐x‐L microchannel catalyst. Thanks to local pressure on the edge of the microchannels, the CH4 yield is further enhanced to 14.04 mol gRu−1 h−1. Finally, an outdoor setup demonstrates the feasibility of photothermal CO2 methanation (CH4 yield of 18.00 mmol min−1). This work provides novel perspectives for the construction of multi‐level micro/nanostructures integrated catalysts for photothermal CO2 methanation.