CO2 hydrogenation to methanol has emerged as a promising strategy for achieving carbon neutrality and mitigating global warming, in which the supported Pd/In2O3 catalysts are attracting great attention due to their high selectivity. Nonetheless, conventional impregnation methods induce strong metal‐support interaction (SMSI) between Pd and In2O3, which leads to the excessive reduction of In2O3 and the formation of undesirable PdIn alloy in hydrogen‐rich atmospheres. Herein, we innovatively synthesized Pd/In2O3 nanocatalysts by the electrostatic self‐assembly process between surface‐modified composite precursors with opposite charges. And the organic ligands concurrently serve as Pd nanoparticle protective agents. The resultant Pd/In2O3 nanocatalyst demonstrates the homogeneous distribution of Pd nanoparticles with controllable sizes on In2O3 supports and the limited formation of PdIn alloy. As a result, it exhibits superior selectivity and stability compared to the counterparts synthesized by the conventional impregnation procedure. Typically, it attains a maximum methanol space‐time yield of 0.54 gMeOH h‐1gcat‐1 (300 °C, 3.5 MPa, 21,000 mL gcat‐1 h‐1). Notably, the correlation characterization results reveal the significant effect of small‐size, highly dispersed Pd nanoparticles in mitigating MSI. These results provide an alternative strategy for synthesizing highly efficient Pd/In2O3 catalysts and offer a new insight into the strong metal‐support interaction.