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The coupled utilization of solar and thermal energy is considered an efficient way to improve the efficiency of CO₂ reduction. Herein, palygorskite (Pal) clay is as a silicon source, while Co²⁺ is introduced to prepare two-dimensional Co₂SiO₄ nanosheets, and the excess of Co²⁺ leads to the growth of Co₃O₄ on the surface of Co₂SiO₄ to obtain an S-scheme Co₂SiO₄/Co₃O₄−x heterojunction, which facilitates the charge transfer and maintains higher redox potentials. Benefiting from black color and a narrow band gap, the cobalt oxide on the surface can increase the light absorption and produce a local photothermal effect. Under proper thermal activation conditions, the photoelectrons captured by the abundant oxygen vacancies can obtain a secondary leap to the semiconductor conduction band (CB), suppressing the recombination of electron-hole pairs, thus favoring the electron transfer on Co₂SiO₄/Co₃O₄−x. The composites not only have abundant oxygen vacancies, but also have a large specific surface area for the adsorption and activation of CO₂. The yields of CH₃OH on Co₂SiO₄/Co₃O₄−5% reach as high as 48.9 μmol·g⁻¹·h⁻¹ under simulated sunlight irradiation. In situ DRIFTS is used to explore the photocatalytic reduction CO₂ mechanism. It is found that the thermal effect facilitates the generation of the key intermediate COOH* species. This work provides a new strategy for photothermal catalytic CO₂ reduction by taking advantage of natural clay and solar energy.