Supercritical fluids have been used to obtain Pb/CNT catalysts consisting of Pb nanoparticles (5–10 nm of predominant size) deposited on CNT. The electrocatalytic activity of Pb/CNT catalysts has been studied by electroreduction of CO2 in gas phase using a PEM type cell in continuous operation mode. The influence of current density (8–24 mA cm−2), temperature (40–80 °C), CO2 flowrate (0.02–0.08 L min−1) and anolyte concentration (0.1–0.5 M KHCO3) have been studied in terms of products formation rate. Formic acid has been the main CO2 reduction product, followed by CO and methane, as well as methanol as minority product. The production of formic acid rises by increasing current density and CO2 flowrate within the experimental ranges studied. High CO formation rates have been observed at 80 °C, but also at low CO2 flowrate (0.02 L min−1) and at high anolyte concentration (0.5 M KHCO3). Formation rate of methane improves with increasing current density in the range studied. Regarding methanol, increasing temperature promotes its production, whereas it diminishes at higher anolyte concentration. A remarkable result that has not been reported yet for Pb electrocatalysts is the change in selectivity observed at 80 °C. At this temperature CO is the main CO2 reduction product (instead of formic acid) and the selectivity to methanol formation increases. In addition, it has been observed that Pb/CNT catalysts yield CO2 conversion rates (normalized by metal surface) 10% higher on average than Pt/CNT catalysts, and that the Pb electrocatalysts lead to larger selectivity to methanol formation. Specifically, using Pb catalysts the selectivity to methanol formation was up to 6.7%, which is almost 4 times higher than the maximum one observed with Pt catalysts.