Conceptual integration is a universal human cognitive activity. Based on the Conceptual Integration Theory proposed by Fauconnier and other cognitive linguists, this paper is designed to explore the cognitive mechanism of interpreting puns in advertisements to perceive the underlying information advertisements expressed by virtue of conceptual integration networks displaying the dynamic cognitive process. It proves that the Conceptual Integration Theory can provide a detailed description and profound explanation of the perceiving process of puns in advertisements, which again tests and verifies the cognitive elucidatory power of the Conceptual Integration Theory. And perceiving puns in advertisements cognitively from the perspective of conceptual integration is a new approach to puns in advertisements and a trustworthy attempt in its cognitive research as well.