Four different compositing strategies were explored to synthesize In2O3/ZrO2 binary composite oxides with the goal of optimizing the interaction between the two phases and the degree of In2O3 surface exposure. The composite oxide prepared by the precipitation-coating method demonstrated the highest exposure area of In2O3 (SIn = 6.22 m2·g−1). In contrast, the composite oxide prepared by the co-precipitation method caused In2O3 to form a bulk dispersion structure with ZrO2, resulting in the lowest In2O3 exposure area (SIn = 1.56 m2·g−1). The incorporation of an In2O3 phase in ZrO2 inhibited the excessive formation of oxygen vacancies compared with pure In2O3, improving the catalytic performance for hydrogenation of CO2 to methanol. The 10% In2O3/m-ZrO2 composite prepared by the precipitation-coating method had excellent catalytic performance and stability: the CO2 conversion was 7.5%, the space-time yield (STY) of methanol reached 0.398 gMeOH·h−1·gcat−1, and the catalytic performance did not significantly decline after a reaction time of 120 h. The results of experimental and simulation calculation verify that In2O3 surface exposure contributes to CO2 adsorption and activation. In-situ diffuse reflectance infrared Fourier transform spectroscopy (DRIFTS) and DFT calculation were used to show that oxygen vacancy defects in the In2O3/m-ZrO2 composite oxides helped stabilize formate intermediates and that methanol synthesis followed a carbonate-formate-methoxy pathway.