To reveal the catalytic function of Brønsted acid sites (BAS) and different Zn Lewis acid sites (LAS) over SSZ‐39 and Zn modified SSZ‐39 in the direct dehydrogenation of propane (DHP) and CO2‐mediated oxidative dehydrogenation (CO2‐ODHP) to propylene, a series of Zn‐modified H(Na)SSZ‐39 catalysts with various Zn loadings was prepared and conducted comparative studies between DHP and CO2‐ODHP. Detailed characterization results reveal the Zn‐loading‐dependent formation of Zn sites, primarily including Zn2+ and [Zn‐O‐Zn]2+, as well as their contributions in generating Lewis acid sites while neutralizing Brønsted acid sites of HSSZ‐39, namely bridged Si(OH)Al groups. In DHP, in comparison to bare HSSZ‐39, Zn/HSSZ‐39 catalysts exhibited a significantly enhanced C3H8 conversion. The presence of CO2 even further promoted C3H8 conversion in comparison to DHP. Given the above observations, we prepared Zn/NaSSZ‐39, in which the incorporation of Na further enriches the Lewis acid sites while neutralizing Brønsted acid sites of zeolite. Zn/NaSSZ‐39 even outperforms Zn/HSSZ‐39 catalysts with almost doubled C3H6 yield for CO2‐ODHP. The BAS has a poor CO2‐ODHP performance but can enhance the CO2 conversion towards CO significantly, while the Zn LAS is favorable for the CO2‐ODHP reaction, and plausible reaction paths of CO2‐ODHP on active sites are proposed.