Developing concise and efficient dual-selective gas sensors has been a significant challenge in sensing technology. In this study, a Fe2O3/In2O3 (FIO) composite material was successfully synthesized via a water bath method for highly efficient dual-selective detection of H2S and NO2. The enhanced dual-selectivity of the composite material is attributed to the high-quality heterojunction formed at the Fe2O3 and In2O3 interface, which provides more active sites and optimizes the electronic structure, thereby greatly improving electron transport efficiency. Consequently, this unique structure significantly enhances the gas sensing response and stability of the composite material. The optimal FIO-3 composite shows significant responses: 14.7 at 80 °C with 100 ppm H2S and 64.3 at 100 °C with 700 ppb NO2, achieving 7- and 31-fold improvements over pure Fe2O3. Analysis indicates that the dual-selective response of the FIO composite material is attributed to synergistic enhancement mechanisms, primarily controlled by high-temperature activation effects. Further density functional theory (DFT) studies reveal changes in charge density at the composite material interface, particularly facilitated by the formation of oxygen bridges promoting electron transfer from In2O3 to Fe2O3. This study offers new insights into the sensing transition of dual-selective gas sensors.