Our research focuses on the hydrothermal conversion of carbon dioxide into formate with the aid of zerovalent iron. Conventionally, a one-step approach is applied wherein both (i) the production of hydrogen gas, through the oxidation of zerovalent iron in an aqueous medium and (ii) the conversion of carbon dioxide with this hydrogen gas into formate/formic acid, are performed under the same reaction conditions at a temperature of approximately 300 °C. Until now, the yields of formate/formic acid mentioned in the literature are, in the absence of a catalytic substance, low (13.5%). Recently, we developed a hydrothermal hydrogen gas production method based on the oxidation of zerovalent iron and performed under mild conditions (temperature of 160 °C). This synthesis method produces hydrogen gas with a high purity (>99 mol%) and a significant yield (approximately 80 mol%). These experimental results suggested that the optimal hydrothermal reaction conditions for the production of hydrogen gas and the conversion of carbon dioxide, are strongly different in case of applying zerovalent iron as the reducing agent. Therefore, this paper studies the potential of a two-step approach to enhance the carbon conversion yields. The first step is the production of hydrogen gas via the developed method at 160 °C. The second step is the conversion of carbon dioxide at higher temperatures (250–350 °C). This study reveals that the solubility of hydrogen gas into the aqueous solution is a key parameter in order to achieve a high amount of carbon conversion. Therefore, a high temperature, the degree of filling and the initial hydrogen gas amount are necessary to successfully perform the carbon dioxide conversion step with high carbon conversion yields. Applying these insights have led to the experimental observation that via a two-step approach the conversion of potassium hydrogen carbonate into potassium formate can be successfully performed with higher carbon conversion yields, up to 77.9 wt%, and a selectivity of at least 81% when applying a reaction temperature of 280 °C for 24 hours, a degree of filling with water of 50 vol% and an initial amount of hydrogen gas of 100 mmol.