It is intriguing yet challenging to synthesize high-performance heterogeneous catalysts for carbon dioxide (CO2) hydrogenation reactions. The excellent catalytic performance of heterogeneous catalysts has attracted widespread attention recently. Herein, a series of Pd–Cu alloy nanoparticles confined within mesoporous hollow carbon spheres (MHCS) were prepared and tested as catalysts for CO2 hydrogenation to formate. The optimized Pd2Cu14–N@MHCS catalyst, which was obtained with about 1 wt % Pd loading and a Pd/Cu molar ratio of 2:14 by the coreduction method, exhibited high activity for CO2 hydrogenation to formate, showing a high turnover number (TON) of 1432 at 100 °C after 24 h. Scanning transmission electron microscopy (HAADF-STEM) and X-ray absorption fine structure spectroscopy (XAFS) analyses revealed that when the Pd/Cu molar ratio was 2:14, the Pd atoms were well isolated by the Cu atoms via a Pd–Cu alloy. Density functional theory (DFT) calculations demonstrated that the PdCu2(111) surface enhanced not only the dissociation of H2 but also the attack of the C atoms of the adsorbed HCO3– on Cu atoms by the dissociated H atoms on Pd atoms. This was attributed to an electron transfer from Cu to Pd in the alloy.