Abstract To develop a new and efficient CO 2 ‐to‐methanol catalyst is of extreme significance but still remains a challenge. Herein, an innovative indirect two‐step strategy is reported to synthesize a highly efficient capsule‐structured copper‐based CO 2 ‐to‐methanol catalyst (CZA‐r@CZM). It consists of a structurally reconstructed millimeter‐sized Cu/ZnO/Al 2 O 3 core (CZA‐r) with intensified Cu–ZnO interactions, which is made by a facile hydrothermal treatment in an alkaline aqueous solution, and a Cu/ZnO/MgO (CZM) shell prepared by an ethylene glycol‐assisted physical coating method. The CZA‐r core displays 2.7 times higher CO 2 hydrogenation activity with 2.0 times higher CO selectivity than the previously reported Cu/ZnO/Al 2 O 3 (CZA‐p), whereas the CZM shell can efficiently catalyze hydrogenation of the as‐formed CO from the CZA‐r core to methanol as it passes through the shell. As a result, the developed capsule‐structured CZA‐r@CZM catalyst exhibits 2.4 times higher CO 2 conversion with 1.8 times higher turnover frequency and 2.3‐fold higher methanol space–time yield than the CZA‐p catalyst (729.8 vs. 312.6 g MeOH kg cat −1 h −1 ). In situ diffuse reflectance infrared Fourier transform spectroscopy (DRIFTs) experiments reveal that the CO 2 hydrogenation reaction proceeds through a reverse water–gas shift reaction followed by a CO hydrogenation pathway via an *H 3 CO intermediate. This work not only produces an efficient CO 2 ‐to‐methanol catalyst, but also opens a new avenue for designing superior catalysts for other consecutive transformations.