Catalytic methanol synthesis is one of the major processes in the chemical industry and may grow in importance, as methanol produced from CO2 and sustainably derived H2 are envisioned to play an important role as energy carriers in a future low‐CO2‐emission society. However, despite the widespread use, the reaction mechanism and the nature of the active sites are not fully understood. Here we report that methanol synthesis at commercially applied conditions using the industrial Cu/ZnO/Al2O3 catalyst is dominated by a methanol‐assisted autocatalytic reaction mechanism. We propose that the presence of methanol enables the hydrogenation of surface formate via methyl formate. Autocatalytic acceleration of the reaction is also observed for Cu supported on SiO2 although with low absolute activity, but not for Cu/Al2O3 catalysts. The results illustrate an important example of autocatalysis in heterogeneous catalysis and pave the way for further understanding, improvements, and process optimization of industrial methanol synthesis.