Selective hydrogenation of CO2 into methanol is a key sustainable technology, where Cu/Al2O3 prepared by surface organometallic chemistry displays high activity towards CO2 hydrogenation compared to Cu/SiO2, yielding CH3OH, dimethyl ether (DME), and CO. CH3OH formation rate increases due to the metal–oxide interface and involves formate intermediates according to advanced spectroscopy and DFT calculations. Al2O3 promotes the subsequent conversion of CH3OH to DME, showing bifunctional catalysis, but also increases the rate of CO formation. The latter takes place 1) directly by activation of CO2 at the metal–oxide interface, and 2) indirectly by the conversion of formate surface species and CH3OH to methyl formate, which is further decomposed into CH3OH and CO. This study shows how Al2O3, a Lewis acidic and non‐reducible support, can promote CO2 hydrogenation by enabling multiple competitive reaction pathways on the oxide and metal–oxide interface.