Abstract Direct nonoxidative methane conversion (DNMC) transforms CH 4 to higher (C 2+ ) hydrocarbons and H 2 in a single step, but its utility is challenged by low CH 4 equilibrium conversion, carbon deposition (coking), and its endothermic reaction energy requirement. This work reports a heat‐exchanged autothermal H 2 ‐permeable tubular membrane reactor composed of a thin mixed ionic‐electronic conducting SrCe 0.7 Zr 0.2 Eu 0.1 O 3– δ membrane supported on a porous SrCe 0.8 Zr 0.2 O 3– δ tube in which a Fe/SiO 2 DNMC catalyst is packed, that concurrently tackles all of these challenges. The H 2 ‐permeation flux drives CH 4 conversion. O 2 from an air simulant (O 2 /He mixture) sweep outside the membrane reacts with permeated H 2 to provide heat for the endothermic DNMC reaction. The energy balance between the endothermic DNMC and exothermic H 2 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 O 2 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 H 2 ‐permeable membrane reactor capable of achieving single‐step auto‐thermal DNMC catalysis while simultaneously improving CH 4 conversion and preventing coking is achieved.