In this work, the successful synthesis of a Cu@g-C3N4/CeO2-like Z-scheme heterojunction through hydrothermal and photo-deposition methods represents high CO2 reduction activity with remarkable CO selectivity, as evidenced by the impressive CO yield of 33.8 μmol/g for Cu@g-C3N4/CeO2, which is over 10 times higher than that of g-C3N4 and CeO2 individually. The characterization and control experimental results indicate that the formation of heterojunctions and the introduction of Cu sites promote charge separation and the transfer of hot electrons, as well as the photothermal effect, which are the essential reasons for the improved CO2 reduction activity. Remarkably, Cu@g-C3N4/CeO2 still exhibits about 92% performance even after multiple cycles. In situ FTIR was utilized to confirm the production of COOH* at 1472 cm−1 and to elucidate the mechanism behind the high selectivity for CO production. The study’s investigation into the wide-ranging applicability of the Cu@g-C3N4/CeO2-like Z-scheme heterojunction catalysts is noteworthy, and the exploration of potential reaction mechanisms for CO2 reduction adds valuable insights to the field of catalysis.