The nature of the Cu-Zn interaction and especially the role of Zn in Cu/ZnO catalysts used for methanol synthesis from CO2 hydrogenation are still debated. Migration of Zn onto the Cu surface during reaction results in a Cu-ZnO interface, which is crucial for the catalytic activity. However, whether a Cu-Zn alloy or a Cu-ZnO structure is formed and the transformation of this interface under working conditions demand further investigation. Here, ZnO/Cu2O core-shell cubic nanoparticles with various ZnO shell thicknesses, supported on SiO2 or ZrO2 were prepared to create an intimate contact between Cu and ZnO. The evolution of the catalyst's structure and composition during and after the CO2 hydrogenation reaction were investigated by means of operando spectroscopy, diffraction, and ex situ microscopy methods. The Zn loading has a direct effect on the oxidation state of Zn, which, in turn, affects the catalytic performance. High Zn loadings, resulting in a stable ZnO catalyst shell, lead to increased methanol production when compared to Zn-free particles. Low Zn loadings, in contrast, leading to the presence of metallic Zn species during reaction, showed no significant improvement over the bare Cu particles. Therefore, our work highlights that there is a minimum content of Zn (or optimum ZnO shell thickness) needed to activate the Cu catalyst. Furthermore, in order to minimize catalyst deactivation, the Zn species must be present as ZnOx and not metallic Zn or Cu-Zn alloy, which is undesirably formed during the reaction when the precatalyst ZnO overlayer is too thin.