Abstract: The sandy conglomerate reservoir is tight and exhibits strong heterogeneity, rendering conventional water flooding and gas drive methods inefficient and challenging for the effective development. CO2 water alternating gas (CO2-WAG) injection as an effective enhanced oil recovery (EOR) method has been applied in heterogeneous reservoirs. Simultaneously, it facilitates carbon sequestration, contributing to the green and low-carbon transformation of energy. However, the EOR mechanisms and influencing factors are still unclear for the development of heterogeneous sandy conglomerate reservoirs. In this paper, we conducted core flooding experiments combined nuclear magnetic resonance (NMR) technology to investigate EOR mechanisms of the CO2-WAG injection on the multiscale (reservoir, layer, and pore). The study compared multiscale oil recovery in sandy conglomerate reservoirs under both miscible and immiscible conditions, while also analyzing the effects of water–gas ratio and injection rate. In the immiscible state, the CO2-WAG displacement achieves an oil recovery of approximately 22.95%, representing a 7.82% increase compared to CO2 flooding. This method effectively inhibits CO2 breakthrough in high-permeability layers while enhancing the oil recovery in medium- and low-permeability layers. Furthermore, CO2-WAG displacement improves the microscopic oil displacement efficiency within mesopores and micropores. As the water–gas ratio increases, the total oil recovery rises, with enhanced oil recovery in low-permeability layers and micropores. Moreover, a gradual increase in injection rate leads to a decrease in total oil recovery, but it leads to an increase in oil recovery from low-permeability sandy conglomerate layers and micropores. In the miscible state, the displacement efficiency of CO2-WAG is significantly enhanced, the total oil recovery three times higher than that in the immiscible state. In particular, the oil recovery from low permeability layers and micropores has further improved. Additionally, experimental results indicate that parameters such as water–gas ratio and injection rate do not significantly affect the oil recovery of CO2-WAG miscible displacement. Therefore, maintaining the reservoir pressure above the minimum miscible pressure is the key to maximizing ultimate recovery factor in these reservoirs.