Actually in normal of yii, there is no way to combine two different models in one Cgridview. But with the help of Yii relations, we can display two models in one Cgridview. The condition is two models must have relation together.
Example, I have two models: post and author. Author ID belongs to Post and each Post has one author id.
Here is their relation.
In Post model :

function relations() {
     return array(
       'author'=>array( self::BELONGS_TO, 'Author', 'author_id' ),
     );
}

In Author model

function relations() {
        return array(
            'Post'=>array( self::HAS_ONE, 'Post', 'author_id' ),
        );
    }

Now, in Cgridview, if you wanna display author name with list of Posts, it’ll become a little bit easier.

$this->widget('zii.widgets.grid.CGridView', array(
    'dataProvider'=>Post()::model->search(),
    'filter'=>Post()::model,
    'columns'=>array(
        'title',
        'post_content',
        array( 'name'=>'Author', 'value'=>'$data->author->name' ),
        array(
            'class'=>'CButtonColumn',
        ),
    ),
));

In line 7, it automatically searches the author name through author_id which belongs in the post