The chemical transformation of CO₂ produces carbon compounds that can be used as precursors for the production of chemicals and fuels. Here, we investigated the activity and selectivity of the transition metals (Fe, Co, and Ni) supported on CeO₂ catalyst for CO₂ hydrogenation at atmospheric pressure. We found that Ni/CeO₂ shows the highest CO₂ conversion compared with Fe/CeO₂ and Co/CeO₂. Besides, Co/CeO₂ and Ni/CeO₂ exhibit nearly 100% CH₄ selectivity while Fe/CeO₂ inclines to produce CO. The characterization results show that the metal-support interaction order is Fe/CeO₂ > Co/CeO₂ > Ni/CeO₂, the weak metal-support interaction over Ni/CeO₂ benefits the activation of H₂ and then promotes the activity of CO₂ hydrogenation. Additionally, in situ DRIFTS results demonstrate that monodentate formate species rather than bidentate formate are the active intermediates. The main route of CO₂ hydrogenation to CH₄ is that CO₂ is firstly transformed to m-HCOO∗ and then direct hydrogenation of the m-HCOO∗ to CH₄. This study provides insights into the understanding of the mechanisms of CO₂ hydrogenation on CeO₂ based catalysts.