3-(2-(Methylthio)phenyl)prop-2-yn-1-ols have been successfully converted in one synthetic step into benzo[4,5]thieno[2,3-c]furan-1-ones by a PdI2/KI-catalyzed oxidative carbonylative double cyclization process, performed in MeCN under relative mild conditions (1–10 mol % PdI2, 7 equiv of KI, 80 °C, 60 atm of a 4:1 mixture CO–air). The process takes place through an ordered sequence of steps, involving 5-endo-dig S-cyclization, iodide-promoted demethylation of the ensuing sulfonium salt, CO insertion, a second cyclization (possibly, through the formation of a palladacycle intermediate followed by reductive elimination), and Pd(0) reoxidation by oxygen (from air) used as external benign oxidant. Under similar conditions, 4-(2-(methylthio)phenyl)but-3-yn-1-ols, bearing a butynol moiety ortho to the methylthio group, led to a mixture of double cyclization and dicarbonylation products, however, by slightly tuning the reaction conditions, dihydrobenzo[4,5]thieno[3,2-c]pyran-1-ones could be selectively obtained with no formation of the dicarbonylated byproduct. The structures of four representative products, including two tetracyclic derivatives, have been confirmed by XRD analysis.