Chemical‐looping technology provides a versatile platform to convert methane in a clean and efficient manner, achieving CO2 capture and generation of syngas/pure H2 without additional separation processes (e.g., separation of CO2 from N2‐diluted exhaust gases, separation of O2 from air, and separation of H2 from syngas) using a two‐step redox concept through recyclable oxygen storage materials (named oxygen carriers) as intermediates. The design and elaboration of appropriate oxygen carriers is a key issue to effectively optimize the products and energy distribution. Various oxygen storage materials (e.g., Fe‐based, Ni‐based, Cu‐based, Ce‐based, perovskite‐type oxides and their mixed oxides) have been widely investigated with the corresponding chemical‐looping process. This work aims to comprehensively describe the advances of chemical‐looping conversion of methane, including chemical‐looping combustion, partial oxidation, steam reforming, and dry reforming technologies. Specifically, this Review focuses on the development of oxygen carriers, including the effects of composition, micro and macro structures, morphology, and supports on the performance for selective conversion of methane. The advances in understanding the reaction mechanisms between methane and different oxygen carriers in chemical‐looping processes are also discussed. Finally, future research directions for developing high‐performance oxygen carriers are proposed.