In this study, CaFeO3-δ perovskite nanomaterial has been synthesized by sol-gel method. The oxygen vacancies and Fe oxidation states in CaFeO3-δ perovskite nanomaterial were investigated by using X-ray diffraction (XRD), Mössbauer spectroscopy, X-ray photoelectron spectroscopy (XPS), thermogravimetry analysis (TG), differential scanning calorimetric (DSC), and vibrating sample magnetometer (VSM). Rietveld analysis of the XRD shows that the sample was crystallized in orthorhombic perovskite structure with space group pcmn. The oxygen vacancies and oxidation states of Fe ions in CaFeO3-δ sample were determined from Mössbauer spectroscopy. XPS shows the presence of different states of Fe ions and oxygen vacancies in the surface of CaFeO3-δ sample. The thermal and magnetic properties of this sample have been investigated.