CuZnO/Al2O3 is the industrial catalyst used for methanol synthesis from syngas (CO + H2) and is also promising for the hydrogenation of CO2 to methanol. In this work, we synthesized Al2O3 nanorods (n-Al2O3) and impregnated them with the CuZnO component. The catalysts were evaluated for the hydrogenation of CO2 to methanol in a fixed-bed reactor. The support and the catalysts were characterized, including via in situ diffuse reflectance infrared Fourier transform spectroscopy (DRIFTS). The study of the CO2 adsorption, activation, and hydrogenation using in situ DRIFT spectroscopy revealed the different roles of the catalyst components. CO2 mainly adsorbed on the n-Al2O3 support, forming carbonate species. Cu was found to facilitate H2 dissociation and further reacted with the adsorbed carbonates on the n-Al2O3 support, transforming them to formate or additional intermediates. Like the n-Al2O3 support, the ZnO component contributed to improving the CO2 adsorption, facilitating the formation of more carbonate species on the catalyst surface and enhancing the efficiency of the CO2 activation and hydrogenation into methanol. The synergistic interaction between Cu and ZnO was found to be essential to increase the space–time yield (STY) of methanol but not to improve the selectivity. The 3% CuZnO/n-Al2O3 displayed improved catalytic performance compared to 3% Cu/n-Al2O3, reaching a CO2 conversion rate of 19.8% and methanol STY rate of 1.31 mmolgcat−1h−1 at 300 °C. This study provides fundamental and new insights into the distinctive roles of the different components of commercial methanol synthesis catalysts.