Searching for non-precious, active and stable catalysts for CO2 electrochemical reduction (CO2ER) has attracted extensive attention, while the high overpotential and low efficiency hinder their widespread commercial applications on a large scale. In this work, density functional theory (DFT) calculations were conducted on the CO2ER process over FeNx embedded graphene (i.e., FeNx-gra, x = 0-4). The results reveal that the Fe atom strongly interacts with the unsaturated N atoms of the substrate and acts as the active site. Due to the small limiting potential of -0.78 V and the activation barrier (1.56 eV), FeN3-gra exhibits the highest catalytic activity towards CO2 reduction. The products of CO2ER catalyzed by FeN3-gra are CH4 and CH3OH, in which CO* → HCO* is the potential-determining step. It is expected that FeN3-gra would be a promising catalyst for CO2ER.