Direct methane conversion into value-added products has become increasingly important. Because of inertness of methane, cleaving the first C–H bond has been very difficult, requiring high reaction temperature on the heterogeneous catalysts. Once the first C–H bond becomes activated, the remaining C–H bonds are successively dissociated on the metal surface, hindering the direct methane conversion into chemicals. Here, a single-atom Rh catalyst dispersed on ZrO2 surface has been synthesized and used for selective activation of methane. The Rh single atomic nature was confirmed by extended X-ray fine structure analysis, electron microscopy images, and diffuse reflectance infrared Fourier transform spectroscopy. A model of the single-atom Rh/ZrO2 catalyst was constructed by density functional theory calculations, and it was shown that CH3 intermediates can be energetically stabilized on the single-atom catalyst. The direct conversion of methane was performed using H2O2 in the aqueous solution or using O2 in gas phase as oxidants. Whereas Rh nanoparticles produced CO2 only, the single-atom Rh catalyst produced methanol in aqueous phase or ethane in gas phase.