CO2 oxidative dehydrogenation of propane (CO2-ODHP), being not only favorable for olefin production but also beneficial for CO2 emission control, has recently attracted great attention. Here, a series of single metal (Cr) and bimetal (Zr, La, Fe) modified ZSM-5 zeolites were prepared via an impregnation method. It was found that the bimetal modified ZSM-5 possessed much higher C3H8 and CO2 conversion than that of monometallic modified Cr3%-ZSM-5 (Cr3%-Z5), especially for Cr3%Zr2%-ZSM-5 (Cr3%Zr2%-Z5), which displayed the highest activity (65.4%) and olefin yield (1.65 × 103 μmol·gcat−1 h−1). Various characterizations were performed, including XRD, N2 adsorption-desorption, H2-TPR, Raman, XPS, HAAD-STEM, and TEM. It was revealed that Zr not only favored an improvement in the redox ability of Cr, but also contributed to the surface dispersion of loaded Cr species, constituting two major reasons explaining the superior activity of Cr3%Zr2%-Z5. To further improve CO2-ODHP catalytic behavior, a series of Cr3%-ZSM-5@SBA-15-n composite zeolite catalysts with diverse (ZSM-5/SBA-15) mass ratios were prepared (Cr3%-ZS-n, n = 0.5, 2, 6, 16), which screened out an optimum mass ratio of six. Based on this, the Cr3%Zr2%-ZS-6 compound was further prepared, and it eventually achieved even higher CO2-ODHP activity (76.9%) and olefin yield (1.72 × 103 μmol·gcat−1 h−1). Finally, the CO2-ODHP reaction mechanism was further investigated using in situ FTIR, and it was found that the reaction followed the Mars–van Krevelen mechanism, wherein CO2 participated in the reaction through generation of polydentate carbonates. The Cr6+ constituted as the active site, which was reduced to Cr3+ after the dihydrogen reaction, and was then further oxidized into Cr6+ by CO2, forming polydentate carbonates, and thus cycling the reactive species Cr6+. Additionally, assisted by a Brönsted acid site (favoring breaking of the C-C bond), C2H4 and CH4 were produced.