Supported CaO/MgO catalysts were used as the catalyst of the transesterification of rapeseed oil with methanol. The supported catalyst showed a higher activity than pure CaO and was easily separated from the product mixture. The results of comparative experiments and catalyst characterization, such as XRD, CO2-TPD, BET, and AAS, showed that the activity of CaO catalysts is associated with their alkalinity. The preparation method of this catalyst was optimized, and furthermore, the reaction parameters were investigated. With the CaO/MgO catalyst so obtained, the conversion of rapeseed oil reached 92% at 64.5 °C. The supported basic catalyst was found to be easily contaminated by the gaseous poisons in air, such as O2, CO2, and H2O, and as a result, a thermal treatment was required before the reaction to activate the catalyst.