The CO2 emission issue has raised global concern as the sea level increase it caused can threaten human activity. The utilization of CO2 as a building block for value-added chemicals can be an effective approach for the mitigation of the greenhouse effect. As one of the potential valuable products, formic acid (HCOOH) has been recognized as an effective hydrogen carrier. For thermal CO2-to-HCOOH conversion, molecular catalysts and metal nanoparticles are prominent choices for the initial conversion. The conventional catalyst substrates have been shown to have issues of deactivation and product selectivity. The metal–organic framework (MOF), as a novel catalyst substrate, showcases its potential for solving the problem. Herein, this review intends to provide an overview of recent progress of metal nanoparticles and molecular catalysts stabilized by conventional catalyst substrates and MOFs for thermal CO2-to-HCOOH conversion, including perspectives on further research.