Iron oxide-based catalysts can selectively covert CO2 to added-value CO in parallel with on-purpose ethylene production via ethane dehydrogenation (CO2-EDH). The 5Fe/10NiMgZr catalyst, calcined at 700 °C for 5 h, reached 90% selectivity, at a single-pass C2H6 conversion of ∼23.3%, during CO2-EDH at 650 °C. X-ray characterization techniques (XRD, XPS, XAS, and XRS), along with structural modeling were used to elucidate the nature of highly selective active sites toward C–H bond scission. Under reaction conditions, Fe atoms are incorporated into the support lattice, as it was exemplified by XRS at Mg L2,3- and O K-edges. The dynamic structural modifications, occurring during CO2-EDH, highlighted the pivotal role of the support, reaching an ethylene yield of 21%. Mg coordination altered from octahedral to tetrahedral. The latter was accompanied by an electronic modification, which had a strong impact on the catalyst acidity, based on Fourier transform infrared spectroscopy combined with in situ adsorption of pyridine, resulting in an unpresented ethylene selectivity for Fe oxide-based catalysts.