CO2 is the most cost-effective and abundant carbon resource, while the reverse water–gas reaction (rWGS) is one of the most effective methods of CO2 utilization. This work presents a comparative study of rWGS activity for perovskite systems based on AFeO3 (where A = Ce, La, Y). These systems were synthesized by solution combustion synthesis (SCS) with different ratios of fuel (glycine) and oxidizer (φ), different amounts of NH4NO3, and the addition of alumina or silica as supports. Various techniques, including X-ray diffraction analysis, thermogravimetric analysis, Fourier transform infrared spectroscopy (FTIR), scanning electron microscopy, energy-dispersive X-ray spectroscopy, N2-physisorption, H2 temperature-programmed reduction, temperature-programmed desorption of H2 and CO2, Raman spectroscopy, and in situ FTIR, were used to relate the physicochemical properties with the catalytic performance of the obtained composites. Each specific perovskite-containing system (either bulk or supported) has its own optimal φ and NH4NO3 amount to achieve the highest yield and dispersion of the perovskite phase. Among all synthesized systems, bulk SCS-derived La–Fe–O systems showed the highest resistance to reducing environments and the easiest hydrogen desorption, outperforming La–Fe–O produced by solgel combustion (SGC). CO2 conversion into CO at 600 °C for bulk ferrite systems, depending on the A-cation type and preparation method, follows the order La (SGC) < Y < Ce < La (SCS). The differences in properties between La–Fe–O obtained by the SCS and SGC methods can be attributed to different ratios of oxygen and lanthanum vacancy contributions, hydroxyl coverage, morphology, and free iron oxide presence. In situ FTIR data revealed that CO2 hydrogenation occurs through formates generated under reaction conditions on the bulk system based on La–Fe–O, obtained by the SCS method. γ-Al2O3 improves the dispersion of CeFeO3 and LaFeO3 phases, the specific surface area, and the quantity of adsorbed H2 and CO2. This led to a significant increase in CO2 conversion for supported CeFeO3 but not for the La-based system compared to bulk and SiO2-supported perovskite catalysts. However, adding alumina increased the activity per mass for both Ce- and La-based perovskite systems, reducing the amount of rare-earth components in the catalyst and thereby lowering the cost without substantially compromising stability.