CO2 hydrogenation coupled with renewable energy to produce methanol is of great interest. Carbon coated In2O3 hollow tube catalysts embedded with ultra-low content ZnO quantum dots (QDs) were synthesized for CO2 hydrogenation to methanol. ZnO-In2O3-II catalyst had the highest CO2 and H2 adsorption capacity, which demonstrated the highest methanol formation rate. When CO2 conversion was 8.9%, methanol selectivity still exceeded 86% at 3.0 MPa and 320 °C, and STY of methanol reached 0.98 gMeOHh−1gcat−1 at 350 °C. The ZnO/In2O3 QDs heterojunctions were formed at the interface between ZnO and In2O3(222). The ZnO/In2O3 heterojunctions, as a key structure to promote the CO2 hydrogenation to methanol, not only enhanced the interaction between ZnO and In2O3 as well as CO2 adsorption capacity, but also accelerated the electron transfer from In3+ to Zn2+. ZnO QDs boosted the dissociation and activation of H2. The carbon layer coated on In2O3 surface played a role of hydrogen spillover medium, and the dissociated H atoms were transferred to the CO2 adsorption sites on the In2O3 surface through the carbon layer, promoting the reaction of H atoms with CO2 more effectively. In addition, the conductivity of carbon enhanced the electron transfer from In3+ to Zn2+. The combination of the ZnO/In2O3 QDs heterojunctions and carbon layer greatly improved the methanol generation activity.