Gas sensors with the p–n heterojunction have demonstrated distinct sensing responses to reducing gases, yet a clear understanding of the reaction pathways and selective adsorption mechanisms for specific gas components remains elusive, impeding practical applications. In this study, we constructed an atomic-level NiO–In2O3 heterojunction and explored its adsorption behaviors and sensing properties for CO and H2 by first-principles calculations. Analysis of its electronic properties, focusing on binding energy, differential charge density, and density of states, confirmed the creation of a highly stable NiO–In2O3 heterojunction and alterations in the coordination environment of the surface-active atoms. These changes potentially led to differences in the affinity between the gas molecules and the adsorption sites. The calculations of the adsorption properties revealed that the adsorption capacity of H2 is relatively weak compared to the strong interactions between CO and heterojunction surface atoms, indicating a readily variable reaction pathway for H2. Consequently, the adsorption configuration at the interface site on the NiO–In2O3 heterojunction surface exhibited a predominantly p-type response for CO and a unique n-type response for H2. This interfacial effect of the heterojunction is crucial for the selective adsorption of CO and H2. Furthermore, the opposite response signal was verified by gas sensing tests, which also presented the superior stability of the NiO–In2O3 sensor. The p–n heterojunction of the corresponding composites was effectively characterized. This research offers new insights into the selective adsorption mechanism, paving the way for the development of gas sensors.