In the present work, ternary Ni-Ce-Mg-O composites containing various amounts of NiO and CeO2 were synthesized via a sol-gel approach. Aqueous solutions of cerium and nickel nitrates were introduced at the stage of hydrolysis of magnesium methoxide, which allowed for avoiding the use of expensive organic precursors. It was revealed that the properties of the composites were defined by the complex interactions between NiO, CeO2, and MgO components. In order to perform an in-depth characterization of the prepared samples, diffuse reflectance UV–vis and Raman spectroscopies were applied. According to the results of these methods, Mg2+ ions did not substitute Ce4+ ions in the CeO2 lattice. However, in the case of the Ni-containing samples, approximately 2–3% of the Ce4+ ions were substituted by Ni2+, thus resulting in the formation of vacancies in the CeO2. The strong interaction of NiO with MgO predictably resulted in the formation of NixMg1−xO solid solutions. When the NiO content in the sample was 20 wt%, the composition of the formed solid solution was estimated to be Ni0.60Mg0.40O. In addition, the presence of CeO2 affected the texture of the ternary composites, thus leading to a slight decrease in the specific surface area. The catalytic performance of the Ni-Ce-Mg-O composites was examined in the CO oxidation reaction under prompt thermal aging conditions. The choice of reaction conditions was due to a high sensitivity of the CO oxidation response toward the available metal surface area and possible metal-support interactions.