Thick and homogeneous hybrid film systems based on poly(methyl methacrylate) (PMMA) and CeO2 nanoparticles were synthesized using the melt compounding method to improve thermal stability, mechanical and UV-shielding properties, as well as to propose them for use in the multifunctional materials industry. The effect of the inorganic phase on these properties was assessed by using two different weight percentages of synthesized CeO2 nanoparticles (0.5 and 1.0 wt %) with the sol–gel method and thermal treatment at different temperatures (120, 235, 400, 600 and 800 °C). Thereafter, the nanoceria powders were added to the polymer matrix by single screw extrusion. The absorption in the UV region was increased with the crystallite size of the CeO2 nanoparticles and the PMMA/CeO2 weight ratio. Due to the crystallinity of CeO2 nanoparticles, the thermal, mechanical and UV-shielding properties of the PMMA matrix were improved. The presence of CeO2 nanostructures exerts an influence on the mobility of PMMA chain segments, leading to a different glass transition temperature.