The most promising way of CO2 utilization is its catalytic conversion into valuable products, in particular, the direct hydrogenation of CO2 on heterogeneous catalysts to obtain such products as synthesis gas, hydrocarbons, alcohols, esters, carboxylic acids, and some other organic molecules. Heterogeneous iron-based catalysts possess a special position among the promising candidates for the synthesis of CO2-based hydrocarbons. However, individual iron oxide catalysts have a fairly low surface area, which requires their deposition on the support or modification. CeO2 is rather attractive in catalysis because of its high oxygen storage capacity. The most effective thermal stabilizer of CeO2 is ZrO2. In this work, cerium–zirconium systems with various Ce to Zr ratios were synthesized by the method of coprecipitation in the absence and presence of the hexadecyltrimethylammonium bromide template. These systems were characterized by adsorption of N2, XRD, and DTA-TG-DTG and used as supports for 5% Fe catalysts. The activity of synthesized Fe-containing catalysts was investigated in the reaction of CO2 hydrogenation. The developed surface and the presence of cerium in the supports are the possible reasons for the high activity of Fe-containing catalysts in the hydrogenation reaction of CO2.