This study presents the preparation, characterization, and properties of a new composite containing cerium oxide nanoparticles and a conjugated polymer. CeO2 nanoparticles prepared using the co-precipitation method were dispersed into the conjugated polymer, prepared using the palladium-catalyzed Suzuki–Miyaura cross-coupling reaction. The interface interactions between the two components and the resultant optoelectronic properties of the composite are demonstrated. According to transmission electron microscopy and X-ray absorption spectroscopy, the dispersion of CeO2 nanoparticles in the polymer matrix strongly depends on the CeO2 nanoparticle concentration and results in different degrees of charge transfer. The photo-induced charge transfer and recombination processes were studied using steady-state optical spectroscopy, which shows a significant fluorescence quenching and red shifting in the composite. The higher photo-activity of the composite as compared to the single components was observed and explained. Unexpected room temperature ferromagnetism was observed in both components and all composites, of which the origin was attributed to the topology and defects.