Identification of the active copper species, and further illustration of the catalytic mechanism of Cu‐based catalysts is still a challenge because of the mobility and evolution of Cu0 and Cu+ species in the reaction process. Thus, an unprecedentedly stable Cu‐based catalyst was prepared by uniformly embedding Cu nanoparticles in a mesoporous silica shell allowing clarification of the catalytic roles of Cu0 and Cu+ in the dehydrogenation of methanol to methyl formate by combining isotope‐labeling experiment, in situ spectroscopy, and DFT calculations. It is shown that Cu0 sites promote the cleavage of the O−H bond in methanol and of the C−H bond in the reaction intermediates CH3O and H2COOCH3 which is formed from CH3O and HCHO, whereas Cu+ sites cause rapid decomposition of formaldehyde generated on the Cu0 sites into CO and H2.