Converting CO2 into methane is considered a promising and economically viable technology for global transportation and utilization of this greenhouse gas. This study involves the preparation of a Ni-CZ (CeO2-ZrO2)/ATP (attapulgite) catalyst through the co-precipitation and impregnation methods. XRD, SEM, TEM, N2 absorption-desorption isotherms, XPS, H2-TPR, CO2-TPD, TG/DSC, and Raman were adapted to characterize the obtained samples. Real-time GC was used to measure the catalytic performances and to intensively study the impact of Ni loading content and ATP to CZ ratio on the catalytic performance of the products. DRIFTs was used to monitor the interstitial radicals in the catalytic reactions and to deduce the catalytic mechanisms. The results indicate that the composite catalytic matrix composed of CZ assembled on ATP demonstrated higher CO2 methanation stability and better carbon deposition resistance ability than the single CZ or ATP as the carrier, which should be attributed to the improved specific surface area and pore volume of the ATP assembled matrix and the enhanced dispersibility of the CZ and Ni species. The adoption of CZ solid solutions improves the oxygen storage capability of the catalyst, thereby providing continued mobile O2− in the matrix and accelerating the molecular exchange rate in the catalytic reactions. The ideal loading quantity of nickel contents on the CZA matrix is 15%, as the CO2 conversion decreases at elevated temperatures when the Ni loading content reaches 20%. Among the tested samples, the 15Ni-0.8CZA sample showed the best catalytic performance of 75% CO2 conversion and 100% CH4 selectivity at 400 °C. After 50 h of stability tests, the CO2 conversion rate still remained 70.84%, and the CH4 selectivity obtained 97.46%. No obvious coke was detected according to the Raman spectra of the used catalyst. The in situ DRIFTS experiment showed that formate is the main intermediate of the CO2 hydrogenation reaction on the 15Ni-0.8CZA catalyst.