Converting CO2 into hydrocarbon fuels is a promising strategy for alleviating global warming and addressing energy crises. However, the inefficient conversion of photocatalytic CO2 and H2O remains a significant challenge for its large-scale application. Herein, we prepare a monolithic catalyst NF@ZnO/CeO2, where ZnO nanorods and CeO2 were grown on the surface of Ni foam, effectively preventing catalyst aggregation. Under concentrated solar irradiation (4200 mW·cm−2), the CH4 yield increases 138 times from 1.11 to 153.09 μmol·cm−2. Regarding catalysts, the Z-scheme heterojunction structure formed between ZnO and CeO2 enhances light absorption ability and extends the lifetime of photogenerated charge carriers. As for concentrated solar irradiation, the heat energy induces the formation of oxygen vacancies on the CeO2 surface to promote CO2 molecular adsorption and activation and accelerates the electron and hole transfer rate at the CeO2/ZnO interface to overcome the reaction kinetic barriers. Moreover, concentrated solar irradiation enhances the density of photogenerated charge carriers and upshifts the Fermi level, while reducing the reaction barrier, thereby improving photocatalytic reduction conversion. This study demonstrates that the photothermal coupling effect induced by concentrated solar irradiation improves the efficiency of artificial photosynthesis for CH4, offering novel insights for developing sustainable energy and environmental protection.