The direct hydrogenation of CO2 to methanol has become a very active research field because CO2 can be prospectively recycled to mitigate greenhouse effect and store clean synthetic fuels. This reaction can be catalyzed by supported Cu catalysts and the catalysts display strong support or promoter effects. Sintering of Cu species accelerates the separation of Cu–oxide interfaces, reduces the active component, and diminishes the methanol selectivity. In this work, we report a Cu catalyst supported on La-modified SBA-15, where the Cu–LaOx interface is generated through the interaction of highly dispersed Cu nanoparticles with LaOx species bedded into the SBA-15 pore wall. The optimized Cu1La0.2/SBA-15 catalyst can achieve methanol selectivity up to 81.2% with no deterioration in activity over 100 h on stream compared with the La-free catalyst. A thorough study reveals that La species not only significantly improve the CO2 adsorption but also enhance Cu dispersion to produce well-dispersed active sites. The H/D exchange experiments show that the methanol synthesis displays a strong thermodynamic isotope effect and the Cu–LaOx interface plays a crucial role for the methanol synthesis rate in CO2/D2 feed. In situ DRIFTS studies reveal that *HCOO and *OCH3 species are the key intermediates formed during the activation of CO2 and methanol synthesis over the Cu1La0.2/SBA-15 catalyst.