This study is to load the sing-atom Pd on Cu/ZrO2 with ion exchange method, and the role of Pd in Cu/ZrO2 for CO2 hydrogenation to methanol is investigated. The exchange of Pd with Cu/ZrO2 increase the methanol production rate from 223 μmol g−1 h−1 to 512 μmol g−1 h−1 at relatively mild conditions (1.5 Mpa, 260 °C). This exchange increases the splitting H adsorptions on Cu species, and strengthen interactions between Cu species and oxygen vacancies at the interface, thus promoting the formations of Cuδ+ species, which is critical to the formation of methanol. This study provides a promising alternative for the understandings the role of exchanged Pd in the Pd-Cu/ZrO2 catalysts for CO2 hydrogenation to methanol.