A Cu-based nano-catalyst has been widely used in the ethynylation of formaldehyde; however, the effects of the presence of Cu on the reaction have not yet been reported. CuO/SiO2 catalysts with different Cu species were prepared by impregnation (IM), deposition–precipitation (DP), and ammonia evaporation (AE). The structural evolution of the Cu species in different states of the ethynylation reaction and the structure–activity relationship between the existence state of the Cu species and the catalytic properties of the ethynylation reaction were studied. The results show that the Cu species in the CuO/SiO2 (IM), prepared using the impregnation method, are in the form of bulk CuO, with large particles and no interactions with the support. The bulk CuO species are transformed into Cu+ with a low exposure surface at the beginning of the reaction, which is easily lost. Thus, this approach shows the lowest initial activity and poor cycle stability. A high dispersion of CuO and copper phyllosilicate exists in CuO/SiO2 (DP). The former makes the catalyst have the best initial activity, while the latter slows release, maintaining the stability of the catalyst. There is mainly copper phyllosilicate in CuO/SiO2 (AE), which is slowly transformed into a highly dispersed and stable Cu+ center in the in situ reaction. Although the initial activity of the catalyst is not optimal, it has the optimal service stability.