Herein, a series of Co-Fe mixed oxide modified ZSM-5 adsorbents were synthesized using the ultrasonic-assisted impregnation method for the capture of elemental mercury. In comparison with other samples, Co₄Fe₁-ZSM-5 produced a relatively better performance, with the removal efficiency of around 96.6% Hg⁰ and the adsorption capacity of around 901.63 ug/mg Hg⁰ achieved at 120 °C. The interaction between CoO_x and FeO_x improved the reducibility of oxygen species, thus promoting the oxidation of Hg⁰. Among a variety of other gas components, O₂ and NO exerted a positive effect on Hg⁰, which improved its removal to a certain extent. By contrast, SO₂ caused an adverse effect on the capture of Hg⁰, which could be reversed to some degree by the introduction of 5% O₂. After five cycles, the mercury removal efficiency of Co₄Fe₁-ZSM-5 remained above 90%, suggesting excellent recyclability. Finally, XPS analysis was conducted to reveal that Mars–Maessen mechanisms are dominant in the process of mercury adsorption.