The conversion of CO2 into fuels and useful chemicals has been intensively pursued for renewable, sustainable and green energy. However, due to the negative adiabatic electron affinity (EA) and large ionization potential (IP), the CO2 molecule is chemically inert, thus making the conversion difficult under normal conditions. Novel catalysts, which have high stability, superior efficiency and low cost, are urgently needed to facilitate the conversion. As the first step to design such catalysts, understanding the mechanisms involved in CO2 conversion is absolutely indispensable. In this review, we have summarized the recent theoretical progress in mechanistic studies based on density functional theory, kinetic Monte Carlo simulation, and microkinetics modeling. We focus on reaction channels, intermediate products, the key factors determining the conversion of CO2 in solid-gas interface thermocatalytic reduction and solid-liquid interface electrocatalytic reduction. Furthermore, we have proposed some possible strategies for improving CO2 electrocatalysis and also discussed the challenges in theory, model construction, and future research directions.