Carbon monoxide (CO) is a poisonous gas that is harmful at a certain dose, and monitoring of this gas is essential in some industries. ZnO, CrZnO, and their PbS-loaded nanocomposites were synthesized using a sol–gel method and were used for the fabrication of CO gas sensors. The synthesized materials were characterized using DFT, XRD, SEM, UV–Vis, and BET analyses. DFT calculation was carried out to obtain useful insights into the nanocomposites’ properties such as energy band gap, chemical hardness, total adsorption energy, etc., which were then compared with experimental data. PbS-loaded ZnO and CrZnO nanocomposites at 1.5 wt% were tested for CO gas sensitivity at 300 °C for gas concentrations of 100, 200, and 300 ppmv. The gas sensing analyses showed that PbS-CrZnO had better sensitivity at 300 ppmv when compared to the pure nanocomposite. Response-recovery times for the gas sensors were also calculated and showed no significant differences. Both the theoretical and experimental data are in agreement that nanocomposites with lower band gap values exhibit an increase in electrical conductivity, indicating a better CO sensing performance. The mechanism may be due to the heterojunction effect, which improves electron transportation and prevents energy loss by suppressing charge-carrier recombination.