The utilization of fossil fuels has enabled an unprecedented era of prosperity and advancement of well-being for human society. However, the associated increase in anthropogenic carbon dioxide (CO2) emissions can negatively affect global temperatures and ocean acidity. Moreover, fossil fuels are a limited resource and their depletion will ultimately force one to seek alternative carbon sources to maintain a sustainable economy. Converting CO2 into value-added chemicals and fuels, using renewable energy, is one of the promising approaches in this regard. Major advances in energy-efficient CO2 conversion can potentially alleviate CO2 emissions, reduce the dependence on nonrenewable resources, and minimize the environmental impacts from the portions of fossil fuels displaced. Methanol (CH3OH) is an important chemical feedstock and can be used as a fuel for internal combustion engines and fuel cells, as well as a platform molecule for the production of chemicals and fuels. As one of the promising approaches, thermocatalytic CO2 hydrogenation to CH3OH via heterogeneous catalysis has attracted great attention in the past decades. Major progress has been made in the development of various catalysts including metals, metal oxides, and intermetallic compounds. In addition, efforts are also put forth to define catalyst structures in nanoscale by taking advantage of nanostructured materials, which enables the tuning of the catalyst composition and modulation of surface structures and potentially endows more promising catalytic performance in comparison to the bulk materials prepared by traditional methods. Despite these achievements, significant challenges still exist in developing robust catalysts with good catalytic performance and long-term stability. In this review, we will provide a comprehensive overview of the recent advances in this area, especially focusing on structure-activity relationship, as well as the importance of combining catalytic measurements, in situ characterization, and theoretical studies in understanding reaction mechanisms and identifying key descriptors for designing improved catalysts.