Under the background of the continuous rise of CO2 annual emissions, the development of CO2 capture and utilization technology is urgent. This study focuses on improving the catalytic capacity of the catalyst for CO2 hydrogenation, improving the efficiency of CO2 conversion to methanol, and converting H2 into chemical substances to avoid the danger of H2 storage. Based on the concept of element sharing, the ASMZ (Aluminum Shares Metal Zeolite catalysts) series catalyst was prepared by combining the CuO-ZnO-Al2O3 catalyst with the ZSM-5 zeolite using the amphoteric metal properties of the Al element. The basic structural properties of ASMZ catalysts were compared by XRD, FTIR, and BET characterization. Catalytic properties of samples were measured on a micro fixed-bed reactor. The catalytic mechanism of the catalyst was further analyzed by SEM, TEM, XPS, H2-TPR, and NH3-TPD. The results show that the ASMZ3 catalyst had the highest CO2 conversion rate (26.4%), the highest methanol selectivity (76.0%), and the lowest CO selectivity (15.3%) in this study. This is mainly due to the fact that the preparation method in this study promotes the exposure of effective weakly acidic sites and medium strength acidic sites (facilitating the hydrogenation of CO2 to methanol). At the same time, the close binding of Cu-ZnO-Al2O3 (CZA) and ZSM-5 zeolite also ensures the timely transfer of catalytic products and ensures the timely play of various catalytic active centers. The preparation method of the catalyst in this study also provides ideas for the preparation of other catalysts.