Methanol synthesis via CO₂ hydrogenation is a key step in 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. Here, we present a mechanistic study of the hydrogenation of CO₂ on Cu/ZrO₂. Using kinetics, in situ IR and NMR spectroscopies and isotopic labeling strategies, we examined the surface intermediates during CO₂ hydrogenation at different pressures. Combined with DFT calculations, we show that formate species is the reaction intermediate and that the zirconia/copper interface is a key for its conversion to methanol.