Methanol synthesis by CO2 hydrogenation is a key process in a methanol‐based economy. This reaction is catalyzed by supported copper nanoparticles and displays strong support or promoter effects. Zirconia is known to enhance both the methanol production rate and the selectivity. Nevertheless, the origin of this observation and the reaction mechanisms associated with the conversion of CO2 to methanol still remain unknown. A mechanistic study of the hydrogenation of CO2 on Cu/ZrO2 is presented. Using kinetics, in situ IR and NMR spectroscopies, and isotopic labeling strategies, surface intermediates evolved during CO2 hydrogenation were observed at different pressures. Combined with DFT calculations, it is shown that a formate species is the reaction intermediate and that the zirconia/copper interface is crucial for the conversion of this intermediate to methanol. Interface matters: A combination of solid‐state NMR and IR spectroscopies with DFT calculations unravels the nature of reaction intermediates in the hydrogenation of CO2 to methanol on Cu/ZrO2 catalysts, pointing out the specific role of the metal–support interface in the formation and conversion of formate into methoxy species.