In 2020, China put forward the national energy and economic development strategy goal of “carbon peak and carbon neutrality”; in this context, the hydrogenation of carbon dioxide into clean energy and high-value-added chemicals can effectively alleviate the current environmental pressure. This process represents a crucial avenue for the advancement of green energy and the realisation of a sustainable energy development strategy. Among the efficient catalysts designed for CO2 hydrogenation reactions, transition metal cobalt has garnered extensive attention from researchers due to its relatively abundant reserves and low economic cost. This paper first introduces the thermodynamic process of carbon dioxide hydrogenation and discusses methods to improve the efficiency of the catalytic reaction from a thermodynamic perspective. It then briefly describes the reaction mechanism of cobalt-based catalysts in the carbon dioxide hydrogenation reaction. Based on this understanding, this paper reviews recent research on the application of cobalt-based catalysts in the hydrogenation of carbon dioxide to produce methane, hydrocarbon chemicals, and alcohols. Finally, the methods to improve the catalytic efficiency of these catalysts are discussed, and future research directions are proposed.