Selective pumping and probing of highly excited states of molecules are essential in various studies but are also challenging because of high density of states, weak transition moments, and lack of precise spectroscopy data. We develop a comb-locked cavity-assisted double-resonance spectroscopy (COCA-DR) method for precision measurements using low-power continuous-wave lasers. A high-finesse cavity locked with an optical frequency comb is used to enhance both the pumping power and the probing sensitivity. As a demonstration, Doppler-free stepwise two-photon absorption spectra of CO2 were recorded by using two milliwatt diode lasers (1.60 and 1.67 μm), and the rotation energies in a highly excited state (CO-stretching quanta = 8) were determined with an unprecedented accuracy of a few kilohertz.