The transition to a low-carbon economy is an enormous challenge. With increasing deployment of intermittent renewable energy, there is a recognised need for scalable options for grid-scale, long-term, high energy density, energy storage. Grid-scale energy storage combined with carbon capture and utilisation (CCU) potentially provides a high level of flexibility and reliability. However, previous power-to-gas (P2G) studies have only examined the use of synthetic natural gas (SNG) derived from electrolytic hydrogen and either biomass- or industrially-derived CO2 for this application; making the whole power-to-power (P2P) value chain low carbon at best. Instead, our work assesses the techno-economic feasibility of using direct air capture to develop truly carbon-neutral P2P pathways. After assessing nine net-zero emission configurations using existing technologies, we found that using SNG as an energy storage carrier may be the least expensive route despite being more complex than power-to-hydrogen (P2H). P2H is currently held back by the high cost of H2 storage and the low volumetric density of H2 relative to SNG. Thus, bringing down the cost of H2 storage and building more salt caverns will be imperative for P2H, whereas reducing the cost of carbon capture should be a key priority for accelerating the deployment of power-to-methane (P2M) technologies.