In this study, thin films of Cerium Oxide CeO2 were fabricated using the sol–gel technique and deposited onto a glass substrate. The annealing process was carried out at various temperatures ranging from 200 to 600 °C to investigate the structural, morphological, and optical properties of the films and their interrelations. X-ray diffraction (XRD) patterns revealed the crystalline nature of the prepared films, with film quality exhibiting enhancement with increasing annealing temperature. The average crystallite size, dislocation density, microstrain, and lattice constant were determined from XRD patterns. Higher annealing temperatures were found to increase the crystallite size values from 4.71 to 15.33 nm and decrease the dislocation density and microstrain of the unit cell. Scanning electron microscope (SEM) images illustrated the uniformity of the films, presenting a spheroid shape. Optical properties such as transmittance, absorbance, reflectance, the direct band gap, extinction coefficients, the refractive index, and optical conductivity were assessed using optical measurements. The direct optical band gap of the CeO2 film was observed to decrease from 3.99 to 3.75 eV with increasing film thickness. Using the Wemple and DiDomenico (WDD) single-oscillator model, dispersion energy parameters were calculated based on the refractive index. The nonlinear optical properties of the CeO2 thin films were evaluated using these dispersion energy parameters. The improvement of optical parameters holds significance in standardizing CeO2 thin films for various optoelectronic applications.