We fabricated the Zr-doped CaO sorbent for high-temperature CO2 capture by the wet high-energy co-milling of calcium carbonate and natural zirconium dioxide (baddeleyite) for the first time. The morphology of the material was examined by scanning electron microscopy, energy-dispersive X-ray analysis and X-ray diffraction. Its CO2 uptake capacity was determined using thermogravimetric analysis. After 50 carbonation−calcination cycles, the Zr-doped CaO sorbent characterized by a high enough CO2 uptake capacity of 8.6 mmol/g and unchanged microstructure due to CaZrO3 nanoparticles uniformly distributed in the CaO matrix to prevent CaCO3 sintering under carbonation. The proposed easy-to-implement CaO-based sorbents fabrication technique is promising for industrial application.