The utilization of CO2 for the production of light olefins through catalysis with iron-based catalysts presents a viable strategy to address the challenges of carbon neutrality. In this study, we synthesized a novel hybrid catalyst Fe2O3@ZrO2, derived from the pyrolysis of dual metal–organic frameworks (NH2-MIL-88B@UiO-66). Under specific conditions (340 °C, 3.0 MPa, CO2/H2 = 1:3, 10000 mL gcat−1h−1), the Fe2O3@ZrO2 catalyst exhibited a notable space–time yield of light olefins at 12.7 mmol g−1h−1. The characterizations results show an electron transfer from ZrO2 to the Fe2O3 surface was observed at the heterointerface of Fe2O3 and ZrO2. This electron transfer mechanism was identified as advantageous for the formation of the active phase Fe5C2. This research introduces an innovative use of the hybrid Fe2O3@ZrO2 catalyst derived from MOF-on-MOF, holding significant promise in advancing the field of CO2 hydrogenation catalysts.