Size-selected Cu_n catalysts (n = 3, 4, 20) were synthesized on Al₂O₃ thin films using mass-selected cluster deposition. A systematic study of size and support effects was carried out for CO₂ hydrogenation at atmospheric pressure using a combination of in situ grazing incidence X-ray absorption spectroscopy, catalytic activity measurement, and first-principles calculations. The catalytic activity for methanol synthesis is found to strongly vary as a function of the cluster size; the Cu₄/Al₂O₃ catalyst shows the highest turnover rate for CH₃OH production. With only one atom less than Cu₄, Cu₃ showed less than 50% activity. Density functional theory calculations predict that the activities of the gas-phase Cu clusters increase as the cluster size decreases; however, the stronger charge transfer interaction with Al₂O₃ support for Cu₃ than for Cu₄ leads to remarkably reduced binding strength between the adsorbed intermediates and supported Cu₃, which subsequently results in a less favorable energetic pathway to transform carbon dioxide to methanol.