Direct conversion of methane into methanol and other liquid oxygenates still confronts considerable challenges in activating the first C-H bond of methane and inhibiting overoxidation. Here, we report that ZnO loaded with appropriate cocatalysts (Pt, Pd, Au, or Ag) enables direct oxidation of methane to methanol and formaldehyde in water using only molecular oxygen as the oxidant under mild light irradiation at room temperature. Up to 250 micromoles of liquid oxygenates with similar to 95% selectivity is achieved for 2 h over 10 mg of ZnO loaded with 0.1 wt % of Au. Experiments with isotopically labeled oxygen and water reveal that molecular O-2, rather than water, is the source of oxygen for direct CH4 oxidation. We find that ZnO and cocatalyst could concertedly activate CH4 and O-2 into methyl radical and mildly oxidative intermediate (hydroperoxyl radical) in water, which are two key precursor intermediates for generating oxygenated liquid products in direct CH4 oxidation. Our study underlines two equally significant aspects for realizing direct and selective photooxidation of CH4 to liquid oxygenates, i.e., efficient C-H bond activation of CH4 and controllable activation of O-2.