Identification of the key factors governing the activity and product selectivity of CO2 hydrogenation is crucial for developing improved catalysts but is still challenging. Herein, CeO2-supported Ni catalysts (Ni/CeO2) with different Ni particle sizes were used for CO2 hydrogenation. The results reveal that the catalytic activity and product selectivity are tightly associated with interfacial oxygen vacancies and the structure of supported Ni species, respectively. With the increase of Ni loading, more surface oxygen vacancies located at the Ni–CeO2 interfaces are responsible for the adsorption and activation of CO2, contributing to reaction activity. Meanwhile, the increased Ni particle size together with more percentage of metallic Ni species is beneficial for both hydrogenation properties and CO binding capacity, resulting in the product selectivity gradually transforming from CO to CH4. The in situ diffuse reflectance infrared Fourier transform spectroscopy results confirm the CO generated by an associated mechanism involving the key intermediate of formate species. These results greatly deepen the fundamental understanding of Ni/CeO2 catalysts for CO2 hydrogenation.