The recent advances in the development of heterogeneous catalysts and processes for the direct hydrogenation of CO2 to formate/formic acid, methanol, and dimethyl ether are thoroughly reviewed, with special emphasis on thermodynamics and catalyst design considerations. After introducing the main motivation for the development of such processes, we first summarize the most important aspects of CO2 capture and green routes to produce H2. Once the scene in terms of feedstocks is introduced, we carefully summarize the state of the art in the development of heterogeneous catalysts for these important hydrogenation reactions. Finally, in an attempt to give an order of magnitude regarding CO2 valorization, we critically assess economical aspects of the production of methanol and DME and outline future research and development directions.