Metal–organic frameworks have drawn attention as potential catalysts owing to their unique tunable surface chemistry and accessibility. However, their application in thermal catalysis has been limited because of their instability under harsh temperatures and pressures, such as the hydrogenation of CO2 to methanol. Herein, we use a controlled two-step method to synthesize finely dispersed Cu on a zeolitic imidazolate framework-8 (ZIF-8). This catalyst suffers a series of transformations during the CO2 hydrogenation to methanol, leading to ~14 nm Cu nanoparticles encapsulated on the Zn-based MOF that are highly active (2-fold higher methanol productivity than the commercial Cu–Zn–Al catalyst), very selective (>90%), and remarkably stable for over 150 h. In situ spectroscopy, density functional theory calculations, and kinetic results reveal the preferential adsorption sites, the preferential reaction pathways, and the reverse water gas shift reaction suppression over this catalyst. The developed material is robust, easy to synthesize, and active for CO2 utilization.