Transformation of carbon dioxide (CO₂) into valuable chemicals is an interesting topic in green chemistry. Hydrogenation of CO₂ to methyl formate (MF) in the presence of methanol is an important reaction. In this work, Au nanocatalysts immobilized on different supports were prepared and characterized by X-ray diffraction (XRD), transmission electron microscopy (TEM) and X-ray photoelectron spectrometry (XPS). The catalytic performances of the catalysts for the reaction were studied. It was demonstrated that the Au/ZrO₂, Au/CeO₂ and Au/TiO₂ were very active and selective for the reaction in the absence of any basic additives. The Au/ZrO₂ was more active than Au/CeO₂ and Au/TiO₂ if the sizes of Au particles on the supports were similar. Moreover, for the Au/ZrO₂ catalysts, Au particles with smaller size had higher activity. The possible mechanism of the catalytic reaction was proposed.