The dehydrogenation of ethylbenzene over a vanadium oxide-loaded MgO catalyst was investigated using carbon dioxide. The styrene yield in the presence of carbon dioxide was 2.5 times higher than that in the absence of carbon dioxide (argon atmosphere) at 823 K, indicating that carbon dioxide markedly promoted the dehydrogenation of ethylbenzene. At 873 K, the same catalyst afforded the highest styrene yield, 73.8% with a selectivity of 90.1%, in the presence of carbon dioxide. In order to elucidate the role of carbon dioxide in this reaction, characterization of the catalyst was carried out via methods such as temperature-programmed reduction, temperature-programmed reaction with carbon dioxide, and UV-visible, FT-IR, and XRD spectroscopies. Carbon dioxide behaved as an oxidant for the vanadium species, and the surface vanadium species were kept in a high oxidation state with carbon dioxide during the dehydrogenation reaction. Active phases of vanadium in the dehydrogenation reaction were believed to be V5+ species in V2O5 or Mg3V2O8 on highly dispersed MgO. The reduced species, V4+ and V3+, were less reactive sites for the dehydrogenation.