CO hydrogenation, CO₂ hydrogenation, and water–gas shift (WGS) reactions have been simultaneously investigated over industry-like catalysts based on Cu–ZnO–Al₂O₃, under methanol synthesis conditions (513 K, 5.0 MPa). For this, a novel methodology has been applied: the concentration of carbon dioxide in the syngas feed was consecutively increased (R = CO₂:(CO + CO₂) = 0–100) resulting in a volcano-type plot of the rate of methanol formation and forming a hysteresis loop when decreasing the CO₂ concentration again. H₂O co-feeding experiments revealed that the enhancement of activity can be correlated with the WGS activity linking both hydrogenation paths of CO and CO₂. On the other hand, excessive amounts of surface hydroxyls seem to inhibit methanol production, explaining the drop in activity at high CO₂ concentrations. An investigation of the catalytic performance was accompanied by an extensive characterisation of the fresh and used catalytic materials by X-ray diffraction, temperature-programmed reduction by H₂, N₂O pulse chemisorption, X-ray photoelectron spectroscopy, and Auger electron spectroscopy. It was shown that the copper surface area affects the CO₂ hydrogenation; however, this parameter is unambiguously not the key descriptor for CO₂-promoted methanol synthesis, which is a consequence of the synergistic interaction of zinc oxide and copper. This structural feature is further promoted by Al₂O₃ through stabilisation of the surface. The position of the activity maximum is determined by the surface ratio Cu : Zn. The hysteresis behaviour is a result of the continuous decrease of Cu dispersion and the fixation of copper species in its monovalent oxidation state, both detrimental for CO₂ hydrogenation. CO hydrogenation is strongly affected by the Cu : Zn bulk ratio and thus the reducibility of the catalyst. These facts could be substantiated by the use of impregnated model catalysts.