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.