CeO2–ZrO2 composite nanoparticles with mesoporous and spherical morphologies were assembled into different homogeneously dispersed, domain, and core–shell structures by changing the reaction conditions, such as the heating rate, acid, and solvent, in supercritical alcohols. CexZr1−xO2 with homogeneous structures were prepared from Ce(NO3)3 and ZrO(NO3)2 in the presence of formic acid in methanol by rapid heating (500°C/min) to 300°C, while CeO2–ZrO2 with domain structures were obtained by slow heating (5.4°C/min). Treatment of mesoporous and spherical ZrO2 nanoparticles with a Ce(NO3)3 solution in supercritical conditions yielded CeO2–ZrO2 nanocomposites with core–shell morphologies, while solvents playing a key role in controlling the thickness of the outer shell; methanol produced a very thin outer shell (<1nm) of cubic CeO2 and 2-propanol afforded a thick outer shell (100–200nm) of cubic CeO2.