Herein, dual‐functional nonvolatile and volatile memory occurrence in memristor based on oxide heterostructures is shown. The chemical composition of material is investigated and electrical measurements are performed to indicate the resistive switching stability under consecutive voltage sweep. The device shows robust nonvolatile memory switching (greater than 105 sweep cycles) and self‐compliant volatile threshold switching (approximately 105 nonlinearity) functions. Moreover, the underlying mechanism of the phenomenon is investigated to uncover how the two resistive switching modes happen. This work can provide a reference toward the design of dual‐functional memristors based on oxide heterostructures.