Cerium oxide nanoparticles coated by cetyltrimethylammonium bromide (CTAB) were prepared using reverse micelles and microemulsion method. The as-prepared nanoparticles (25 °C) were annealed at 200, 350, 500, and 700 °C for 2 h. Their particle sizes are, respectively, 230, 50, 2, 6, and 10 nm as identified by transmission electron microscopy and X-ray diffraction patterns. A chemical transformation from amorphous Ce3+ component to crystalline Ce4+ component was found in the temperature range of 200 °C to 400 °C. X-ray absorption spectroscopy was used to reveal the electronic and atomic structures. The intermediate spectroscopic valence of formally tetravalent compounds and four features A, B, C, and D were detected from the X-ray absorption near edge structure (XANES) spectra of Ce-LIII absorption for samples annealing at 350, 500, and 700 °C. As in trivalent bulk Ce(NO3)3·6H2O, the Ce3+ characteristic was also found for samples annealing at 25, 200, and 350 °C. Multielectron excitation effect on the EXAFS spectra was eliminated. Local atomic structures of these nanoparticles were probed by using extended X-ray absorption fine structure (EXAFS) technique. The obtained structural parameters for bulk Ce(NO3)3·6H2O were in excellent agreement with its crystallographic data. For nanoparticles annealed at 500 °C and 700 °C, similar atomic structures with bulk CeO2 were found. For the as-prepared nanoparticles without annealing (25 °C), a single shell (10 × 2.59 Å) is sufficient to describe its local structures, while two shells had to be used for the nanoparticles annealed at 200 °C and 350 °C. One shell is corresponding to the Ce3+ component. Another is corresponding to the Ce4+ component. All Ce4+ components have the same structural parameters except different Debye−Waller factors or atom-pair distribution functions. A core−shell model was used to explain the structural parameters around cerium for the two samples annealed at 200 °C and 350 °C. The core part is the Ce4+ component with crystalline CaF2-type cubic structures (eight oxygens at 2.343 Å around Ce); the shell part is an amorphous Ce3+ component with different structures. The mechanism of chemical transformation was discussed in this paper.