Slurry reactors have recently received more attention because of their advantages in caloric transfer. At present, the synthesis of dimethyl ether (DME) and methanol in slurry reactors is considered to be promising. The catalysts currently used in slurry reactors are all prepared by dispersing the traditional solid catalysts into an organic medium, which easily leads to the medium viscosity increase, defluidization decrease, and activity drop. This work suggests a novel method of preparing slurry catalysts for slurry reactors. Its main innovative thought lies in the direct preparation of catalysts from a solution to the slurry. Firstly, a catalyst precursor with a three-dimensional net structure is prepared. Then the precursor is modified by solvent substitution or heterogeneous azeotropic distillation and treated by N-2. After the treatment, a slurry catalyst is obtained. In this paper, two CuO/ZrO2 slurry catalysts were prepared by this new method and characterized by X-ray diffraction, N-2 adsorption, and temperature-programmed reduction. The catalysts were evaluated in CO hydrogenation in a slurry reactor. The results show that the slurry catalysts have a phase structure similar to that of the catalyst prepared by the traditional method. The CuO/ZrO2 slurry catalyst modified by heterogeneous azeotropic distillation is highly dispersed. Using this CuO/ZrO2 slurry catalyst can directly synthesize DME from CO hydrogenation without adding any methanol dehydration component, and the highest DME selectivity reaches 92.10%. The slurry catalyst is stable during the reaction for fifteen days, and no significant deactivation occurs.