A series of iron‐doped cerium oxide oxygen carriers CexFe10−xOδ (x=9, 7, 5) were prepared by citric acid sol‐gel method and characterized by X‐ray powder diffraction (XRD), Brunauer Emmett Teller (BET), Temperature‐Programmed Reduction, and Oxidation (H2‐TPR/O2‐TPO). The reaction activity and cycle stability of oxygen carriers with methane at 850 °C were investigated in a fixed bed reactor and the capacity of oxygen storage was studied by a chemical adsorption instrument. Results showed that methane conversion and oxygen storage capacity of oxygen carriers were improved significantly because of the doping iron oxide. For thermostatic cycle, Ce7Fe3Oδ showed considerable durability. A three stages isothermal reaction mechanism was proposed.