A rapid combustion process was applied to prepare CaFe2O4 nanomaterials using CaBr2·xH2O and Fe(NO3)3·9H2O as raw materials and CaFe2O4 nanomaterials were characterized by SEM, TEM, VSM, XRD, and FTIR techniques. The results showed that the prepared nanomaterials had a sheet-like structure, and for larger adsorption capacity of dyes, CaFe2O4 nanosheets prepared at 700°C for 2 h with average grain size was 93.3 nm, a thickness of 8.4 nm, and the saturation magnetization of 8.15 emu/g were employed as adsorbate for the removal of methyl blue (MB). The adsorption performance of MB onto CaFe2O4 nanosheets was investigated; CaFe2O4 nanosheets displayed favorable adsorption capacity, and the adsorption conformed to the pseudo-second-order model and the Freundlich model, which demonstrated that the adsorption process of MB on CaFe2O4 nanosheets belonged to multilayer chemisorption process. When the pH value reached 3, the adsorption capacity of MB by CaFe2O4 nanosheets kept maximum value of 478.07 mg/g; and after 5 regenerations, the removal efficiency of MB was reduced to 59.06% of the first time. The electrochemical behavior of MB onto the nanosheets was evaluated through CV in conjunction with EIS. The CaFe2O4 nanosheets revealed a promising prospect for the adsorption of dyes.