Humanoid loco-manipulation, which integrates whole-body locomotion with dexterous manipulation, remains a fundamental challenge in robotics. Beyond whole-body coordination and balance, a central difficulty lies in understanding human instructions and translating them into coherent sequences of embodied actions. Recent advances in foundation models provide transferable multimodal representations and reasoning capabilities, yet existing efforts remain largely restricted to either locomotion or manipulation in isolation, with limited applicability to humanoid settings. In this paper, we propose Humanoid-COA, the first humanoid agent framework that integrates foundation model reasoning with an Embodied Chain-of-Action (CoA) mechanism for zero-shot loco-manipulation. Within the perception--reasoning--action paradigm, our key contribution lies in the reasoning stage, where the proposed CoA mechanism decomposes high-level human instructions into structured sequences of locomotion and manipulation primitives through affordance analysis, spatial inference, and whole-body action reasoning. Extensive experiments on two humanoid robots, Unitree H1-2 and G1, in both an open test area and an apartment environment, demonstrate that our framework substantially outperforms prior baselines across manipulation, locomotion, and loco-manipulation tasks, achieving robust generalization to long-horizon and unstructured scenarios. Project page: https://humanoid-coa.github.io/