A series of mixed copper (II)—zinc oxide catalysts supported on unmodified and ceria-modified silica supports were synthesized using β-cyclodextrin as a template. The novelty of this work lies in the use of cyclosextrins for the template synthesis of catalyst supports. The obtained samples were analyzed by XRD, SEM-EDX, low-temperature nitrogen physisorption, XPS, and EPR. The magnetic properties of the catalysts were also measured. The thermal decomposition of precursors was analyzed by TGA combined with mass-spectrometric analysis of the evolved gases. The effects of the support pore size, the nature of the active phase and its loading, as well as the sequence of component deposition on the catalyst performance in the CO₂ conversion to methanol were studied. The catalysts with cerium added at the gelation stage demonstrated the best performance. The selectivity of these samples reaches values of more than 90% over a fairly ide temperature range, with the productivity reaching 480 g/kg cat·h at 300 °C.