Exploring highly efficient and stable halide perovskite‐based materials for photocatalytic CO 2 reduction is a great challenge due to their poor intrinsic instability. Coincidentally, mesoporous molecular sieves have received tremendous attention as adsorbents, catalysts, and catalyst carriers. Herein, lead‐free double perovskite of Cs 2 AgBiBr 6 (CABB) nanocrystals are grown in situ in MCM‐48 mesoporous molecular sieve for photocatalytic CO 2 reduction. A remarkable performance is achieved by the CABB@MCM‐48 composite, which far exceeds that of pristine CABB. The mechanism of the photocatalytic CO 2 reduction reaction is systematically investigated by the combination of in situ diffuse reflectance infrared Fourier transform spectra and density functional theory calculations. The result indicates that the molecular sieve can not only enhance the adsorption of CO 2 molecules, but also promote the CO 2 activation by reducing the energy barriers. This study provides some new insights into the design of excellent perovskite/molecular sieve‐based catalysts for solar fuel applications.