The ever-increasing amount of anthropogenic carbon dioxide (CO2) emissions has resulted in great environmental impacts. The selective hydrogenation of CO2 to methanol, the first target in the liquid sunshine vision, not only effectively mitigates the CO2 emissions, but also produces value-added chemicals and fuels. This critical review provides a comprehensive view of the significant advances in heterogeneous catalysis for methanol synthesis through direct hydrogenation of CO2. The challenges in thermodynamics are addressed first. Then the progress in conventional Cu-based catalysts is discussed in detail, with an emphasis on the structural, chemical, and electronic promotions of supports and promoters, the preparation methods and precursors of Cu-based catalysts, as well as the proposed models for active sites. We also provide an overview of the progress in noble metal-based catalysts, bimetallic catalysts including alloys and intermetallic compounds, as well as hybrid oxides and other novel catalytic systems. The developments in mechanistic aspects, reaction conditions and optimization, as well as reactor designs and innovations are also included. The advances in industrial applications for methanol synthesis are further highlighted. Finally, a summary and outlook are provided.