Non-stoichiometric CeO2−y, especially in the form of nanocrystal aggregates, exhibits exceptional catalytic activity in redox reactions. It significantly improves the activity of transition metals and their oxides dispersed on/or in it, also acting as an oxygen buffer. Particularly, active oxygen species (O2n−, O−) are generated at the M/CeO2−y nanoparticle interface, as well as in the surface layer of their solid-state solutions MxCe1−xO2−y. The crystal structure of CeO2, ZrO2 and (Ce, Zr)O2 and its defects are discussed in connection with the resulting specific catalytic activity. All the methods (simple precipitation and co-precipitation from mother liquors, sol–gel methods, precipitation from nanoemulsions, hydrothermal and solvothermal techniques, combustion and flame spray pyrolysis, precipitation using molecular and solid-state matrices, 3D printing and mechanochemical methods) used for the synthesis of these nanomaterials are comprehensively reviewed, describing the rules of individual procedures and preparation details. Methods of deposition of metal catalysts and their oxides on CeO2 nanoparticles, such as impregnation, washcoating and precipitation deposition, were also discussed. This review contains more than 160 references to representative papers wherein the reader can find further details on individual syntheses of effective ceria-based catalysts for redox reactions.