Supported metal catalysts are widely used for chemical conversion, in which construction of high density metal‐oxide or oxide‐metal interface is an important means to improve their reaction performance. Here, Cu@ZnOx encapsulation structure has been in situ constructed through gas‐phase migration of Zn species from ZnO particles onto surface of Cu nanoparticles under CO2 hydrogenation atmosphere at 450 °C. The gas‐phase deposition of Zn species onto the Cu surface and growth of ZnOx overlayer is self‐limited under the high temperature and redox gas (CO2/H2) conditions. Accordingly, high density ZnOx‐Cu interface sites can be effectively tailored to have an enhanced activity in CO2 hydrogenation to methanol. This work reveals a new route for the construction of active oxide‐metal interface and classic strong metal‐support interaction state through gas‐phase migration of support species induced by high temperature redox reaction atmosphere. [ABSTRACT FROM AUTHOR]