CeO2 is an excellent potential material for CO2 hydrogenation attributed to the highly tunable properties including metal–support interaction and abundant oxygen vacancy. In this work, four CeO2 supports with structurally well-defined different shapes and crystal facets are hydrothermally prepared, and their effects on the composition of Pd species and oxygen vacancy over Pd/CeO2 catalysts have been intensively investigated in the reduction of CO2 to methanol. The 2Pd/CeO2-R (rods) shows the highest concentration and number of oxygen vacancies, where the (110) facet with high surface oxygen mobility and low oxygen vacancy formation energy is exposed over the CeO2-R surface. The oxygen mobility at the interface of (111) and (100) facets mainly observed on 2Pd/CeO2-P (polyhedrons) is higher than the single (111) and (100) facets mainly observed on 2Pd/CeO2-O (octahedrons) and 2Pd/CeO2-C (cubs), respectively. The presence of Pd highly promotes the formation of oxygen vacancies by providing dissociated H atoms to facilitate the removal of surface O in ceria support under a H2 atmosphere. Both the PdxCe1–xOδ solid solution dominated on CeO2-R and the PdO species dominated on CeO2-O are reduced to metallic Pd after reduction with 6–10 nm average particle size. As revealed by density functional theory (DFT) calculations, in contrast to the single Pd0 atom on CeO2 and the thermodynamically most unstable PdxCe1−xOδ solid solution, the Pd0 nanoparticles are the most stable species under the realistic reaction conditions. The 2Pd/CeO2-R shows the highest catalytic activity as the abundantly available oxygen vacancies function as CO2 adsorption and activation sites. Moreover, oxygen vacancy reactivity is correlated with its formation energy. The lower formation energy facilitates the formation of oxygen vacancy; however, the reactivity of each oxygen vacancy is lower as the TOFoxygen vacancy of 2Pd/CeO2-O is 15 times as that of 2Pd/CeO2-R. Thus, a suitable oxygen vacancy formation energy is likely favorable for enhancing CO2...