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Direct nonoxidative methane conversion (DNMC) transforms CH₄to higher (C₂₊) hydrocarbons and H₂in a single step, but its utility is challenged by low CH₄ equilibrium conversion, carbon deposition (coking), and its endothermic reaction energy requirement. This work reports a heat‐exchanged autothermal H₂‐permeable tubular membrane reactor composed of a thin mixed ionic‐electronic conducting SrCe_0.7Zr_0.2Eu_0.1O_3–δmembrane supported on a porous SrCe_0.8Zr_0.2O_3–δ tube in which a Fe/SiO₂ DNMC catalyst is packed, that concurrently tackles all of these challenges. The H₂‐permeation flux drives CH₄ conversion. O₂from an air simulant (O₂/He mixture) sweep outside the membrane reacts with permeated H₂ to provide heat for the endothermic DNMC reaction. The energy balance between the endothermic DNMC and exothermic H₂ combustion on opposite sides of the membrane is achieved, demonstrating the feasibility for autothermal operation using a simple air sweep gas. Moreover, the back diffusion of O₂ from the sweep side to the catalyst side oxidizes any deposited carbon into CO. Thus, for the first time demonstrating all the desired attributes, a heat‐exchanged H₂‐permeable membrane reactor capable of achieving single‐step auto‐thermal DNMC catalysis while simultaneously improving CH₄conversion and preventing coking is achieved.