It is of pivotal importance to develop efficient catalysts and investigate the intrinsic mechanism for CO2 methanation. Now, it is reported that PdFe intermetallic nanocrystals afforded high activity and stability for CO2 methanation. The mass activity of fct‐PdFe nanocrystals reached 5.3 mmol g−1 h−1, under 1 bar (CO2:H2=1:4) at 180 °C, being 6.6, 1.6, 3.3, and 5.3 times as high as that of fcc‐PdFe nanocrystals, Ru/C, Ni/C, and Pd/C, respectively. After 20 rounds of successive reaction, 98 % of the original activity was retained for PdFe intermetallic nanocrystals. Further mechanistic studies revealed that PdFe intermetallic nanocrystals enabled the maintenance of metallic Fe species via a reversible oxidation–reduction process in CO2 methanation. The metallic Fe in PdFe intermetallic nanocrystals induced the direct conversion of CO2 into CO* as the intermediate, contributing to the enhanced activity.