Direct nonoxidative methane conversion (DNMC) transforms CH4 to higher (C2+) hydrocarbons and H2 in 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 SrCe0.7Zr0.2Eu0.1O3–δ membrane supported on a porous SrCe0.8Zr0.2O3–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. O2 from 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 CH4 conversion and preventing coking is achieved.  Modular gas‐to‐liquid (GTL) technology enables the utilization of immense stranded natural gas resources with major environmental benefits. By converting gaseous CH4 into liquid C2+ hydrocarbons, transportation of these liquid hydrocarbons becomes economically viable. In this paper, the first‐ever autothermal direct nonoxidative methane conversion (DNMC) to value added C2+ hydrocarbons in an integrated DNMC‐catalyst/H2‐permeable‐membrane modular reactor is presented.