Nano‐alloy catalysts (NACs), which differ appreciably from monometallic catalysts, take on superior intrinsic features in surface microstructure, surface electronic properties, homogeneity in nanoscale, etc., endowing them with attractive prospects in heterogeneous catalysis. In particular, methanol synthesis from CO2 exhibits high potentials in terms of alternative energy sources to fossil fuels and NACs have shown promising performance in promoting the reaction. However, there still lacks of the bottom‐up catalysts design as well as the unanimous insight regarding the mechanistic understanding. Herein, we present a comprehensive overview of the physico‐chemical properties and the fabrication approach to NACs with high catalytic performance in the CO2 hydrogenation to methanol. Additionally, the progresses of NACs were comprehensively summarized in terms of mechanisms. Finally, some thinking about the further relevant studies on NACs is outlooked with the aim to provide new insights for achieving the precise design and controllable properties of NACs.