Methanol is a valuable chemical energy carrier and C1 feedstock, with significant research efforts directed toward its production via CO2 hydrogenation. Here, we report a surfactant-free, non-aqueous synthesis of Cu–ZnO core–shell catalysts (Cu2O core and ZnO shell), featuring uniform morphology and high performance. This enables a better understanding of the Cu–ZnO synergy, providing insights into the formation of highly active and selective sites as well as catalyst stability. The optimal core–shell catalyst achieved 53% CO2 conversion and 84% methanol selectivity. Comprehensive characterization, including operando X-ray diffraction at 184–331 bar reactant pressure, was performed on both the core–shell material and a commercial Cu/ZnO/Al2O3 catalyst, before and after the reaction. The results revealed that the highly active state of the catalyst promotes the carbonation of ZnO, leading to the formation of ZnCO3 during the reaction. This is likely driven by the acidic reaction medium formed from the dissolution of CO2 in water under high conversion conditions. While ZnCO3 formation may contribute to catalyst deactivation, it could also offer a rigid structure that supports highly active and selective, dispersed Cu–Zn interactions.