The selective hydrogenation of the biomass platform molecule furfural (FAL) to produce furfuryl alcohol (FA) is of great significance to alleviate the energy crisis. Cu-based catalysts are the most commonly used catalysts, and their catalytic performance can be optimized by changing the preparation method. This paper emphasized the effect of calcination atmosphere on the performance of a Cu/Al2O3 catalyst for the selective hydrogenation of FAL. The precursor of the Cu/Al2O3 catalyst prepared by the ammonia evaporation method was treated with different calcination atmospheres (N2 and air). On the basis of the combined results from the characterizations using in situ XRD, TEM, N2O titration, H2-TPR and XPS, the Cu/Al2O3 catalyst calcined in the N2 atmosphere was more favorable for the dispersion and reduction of Cu species and the reduction process could produce more Cu+ and Cu0 species, which facilitated the selective hydrogenation of FAL to FA. The experimental results showed that the N2 calcination atmosphere improved the FAL conversion and FA selectivity, and the FAL conversion was further increased after reduction. Cu/Al2O3-N2-R exhibited the outstanding performance, with a high yield of 99.9% of FA after 2 h at 120 °C and an H2 pressure of 1 MPa. This work provides a simple, efficient and economic method to improve the C=O hydrogenation performance of Cu-based catalysts.