We present a new formalism to solve the kinematical constraints due to Weyl invariance for CFTs in curved backgrounds and/or non-trivial states, and we apply it to thermal CFTs and to CFTs on squashed spheres. The ambient space formalism is based on constructing a class of geometric objects that are Weyl covariant and identifying them as natural building blocks of correlation functions. We construct (scalar) n-point functions and we illustrate the formalism with a detailed computation of 2-point functions. We compare our results for thermal 2-point functions with results that follow from thermal OPEs and holographic computations, finding exact agreement. In our holographic computation we also obtain the OPE coefficient of the leading double-twist contribution, and we discuss how the double-twist coefficients may be computed from the multi-energy-momentum contributions, given knowledge of the analytic structure of the correlator. The 2-point function for the CFT on squashed spheres is a new result. We also discuss the relation of our work to flat holography.