Suppressing the usage of rare-earth elements is crucial for making the catalysts sustainable. Preparing CeO2 nanoparticles is a common technique to reduce CeO2 consumption, but such nanoparticles are prone to sinter or react with the supports when subjected to heat treatments. This study demonstrated that stable CeO2 nanoparticles were deposited on MgO by the simple impregnation method. When CeO2/MgO was prepared under the dry atmosphere, the CeO2 nanoparticles remained ~3 nm in diameter even after being heated at 800 °C, which is much smaller than ~5 nm of CeO2/MgO prepared under ambient air. Temperature-programmed reduction, temperature-programmed oxidation, X-ray photoelectron spectroscopy, and in situ X-ray diffraction studies showed that CeO2/MgO exhibited higher oxygen mobility when prepared under the dry atmosphere. Dry reforming reaction demonstrated that CeO2/MgO prepared under the dry atmosphere exhibited higher activity than that prepared under ambient air and pure CeO2.