Partial oxidation of methane (CH4) to value‐added products is significantly challenging due to the highly inert chemical property of CH4 at ambient conditions and easy over‐oxidation into carbon dioxide (CO2) or carbon monoxide (CO) at elevated temperatures and pressures. Targeting this challenge, the efficient photocatalytic coupling of CO2 and CH4 into ethanol is demonstrated, using a cerium (Ce)‐doped zinc oxide (ZnO) photocatalyst with abundant Ce─O─Zn units. Under light illumination, CO2 is adsorbed on the Ce atoms and photo‐reduced to CO, and CH4 is captured by the Zn atoms and photo‐oxidized to hydroperoxymethane (CH3OOH). The close proximity of Ce and Zn atoms on the Ce─O─Zn units allowed to further efficiently couple the as‐formed CO and CH3OOH into ethanol. Without additional Oxygen (O2) oxidant or sacrificial regent, the ethanol production rate reached 580 µmol g−1 h−1, substantially exceeding previously reports on photocatalytic CH4 oxidation. This work features to convert two greenhouse gases into value‐added chemicals with adjacent and asymmetric reaction sites, suggesting attractive potentials for CH4 and CO2 utilization.