Nanofluids are known to have significantly different thermal properties relative to the corresponding conventional fluids. Heat transfer at the solid-fluid interface affects the thermal properties of nanofluids. The current work helps in understanding the role of two nanoscale phenomena, namely ordering of fluid layer around the nanoparticle (nanolayer) and thermal resistance at the interface of solid-fluid in the enhancement of thermal conductivity of Al2O3 - CO2 nanofluid. In this study, molecular dynamics (MD) simulations have been used to study the thermal interfacial resistance by transient non-equilibrium heat technique and nanolayer formed between Al2O3 nanoparticle (np) and surrounded CO2 molecules in the gaseous and supercritical phase. The nanoparticle diameter (dNP) is varied between 2 and 5 nm to investigate the size effect on thermal interfacial resistance (TIR) and thermal conductivity of nanofluid and the results indicate that the TIR for larger diameters is relatively high in both the phases. The study of the effect of surface wettability and temperature on TIR reveals that the resistance decreases with increase in interaction strength and temperature, but is entirely independent at higher temperatures, in both gaseous and supercritical nanofluid. A density distribution study of the nanolayer and the monolayer around the nanoparticle revealed that the latter is more ordered in smaller diameter with less thermal resistance. However, nanolayer study reveals that the nanoparticle with bigger diameters are more suitable for the cooling/heating purpose, as the system with larger diameters has higher thermal conductivity. Results show that the nanolayer plays a significant role in determining the effective thermal conductivity of the nanofluid, while the influence of TIR appears negligible compared to the nanolayer.