CO2 hydrogenation to methanol has attracted great interest while suffering from low conversion and high energy input. Herein, tiny Pd3Cu nanoparticles are confined into a metal–organic framework (MOF), UiO‐66, to afford Pd3Cu@UiO‐66 for CO2 hydrogenation. Remarkably, it achieves a methanol production rate of 340 μmol g−1 h−1 at 200 °C and 1.25 MPa under light irradiation, far surpassing that in the dark. The photo‐generated electron transfer from the MOF to antibonding orbitals of CO2* promotes CO2 activation and HCOO* formation. In addition, the Pd3Cu microenvironment plays a critical role in CO2 hydrogenation. In contrast to the MOF‐supported Pd3Cu (Pd3Cu/UiO‐66), the Pd3Cu@UiO‐66 exhibits a much higher methanol production rate due to the close proximity between CO2 and H2 activation sites, which greatly facilitates their interaction and conversion. This work provides a new avenue to the integration of solar and thermal energy for efficient CO2 hydrogenation under moderate conditions. The Pd3Cu nanoparticles encapsulated into a MOF affording Pd3Cu@UiO‐66 exhibits excellent performance in CO2 hydrogenation enhanced by light irradiation. Photo‐generated electrons migrate from the linkers to activate CO2 adsorbed on Zr–oxo clusters. Then activated CO2 accepts spillover H* from Pd3Cu to complete the conversion. Significantly, the Pd3Cu spatial position plays a critical role and UiO‐66‐confined Pd3Cu greatly promotes activity.