CO2 hydrogenation to methanol (MeOH) is a key transformation in the Power‐to‐liquid concept, which aims to store energy in chemical energy carriers and chemicals. Cu/ZnO/ZrO2 (CZZ) shows great promise due to its enhanced stability in the presence of water, a critical by‐product when utilizing CO2‐based feedstocks. The structure‐sensitivity of this reaction, especially for particle sizes below 10 nm and in three‐component systems, remains highly debated. Herein, we systematically prepared a series of CZZ catalysts by flame spray pyrolysis to vary the crystallite size and to study its effect on methanol synthesis in this 3‐component system. FSP enabled us to maintain a fixed Cu/Zn/Zr ratio close to the commercial composition (61/29/10 atomic ratio), while varying the precursor feed rate. This resulted in variation in the crystallinity. The characterization by X‐ray diffraction and electron microscopy revealed an increase in crystallite size with rising feed rate for Cu and t‐ZrO2, whereas ZnO remained mostly unaffected. The testing of the materials in methanol synthesis uncovered an increase in performance, higher space time yield and MeOH selectivity, with decreasing crystallite size for two (Cu, t‐ZrO2) of its three components. The increased selectivity with smaller sizes might be attributed to an increase in interfacial sites.