The redox pretreatment of samples is one of the crucial ways of altering the catalytic properties of the supported noble metal materials in many heterogeneous reactions. Here, H2-reducing pretreatment is reported to enhance the thermal stability of Au-CeO2 catalysts prepared by the deposition–precipitation method and calcination at 600 °C for CO oxidation. In order to understand the improved activity and thermal stability, a series of techniques were used to characterize the physico-chemical changes of the catalyst samples. H2 pretreatment may lead to: (i) a strong metal–support interaction (SMSI) between Au nanoparticles (NPs) and CeO2, evidenced by the particular coverage of Au NPs by CeO2, electronic interactions and CO adsorption changes. (ii) the production of surface bicarbonates which can accelerate CO oxidation. As a result, the H2 pretreatment makes the Au NPs more resistant to sintering at high temperature and enhances the CO oxidation activity. Furthermore, this reduction pretreatment strategy may provide a potential approach to enhance the thermal-stability of other supported noble metal catalysts.