Gold-based nanocatalysts have proved to be an appropriate candidate for the selective preferential CO oxidation (PROX) in H2-containing atmosphere. Effectiveness of small gold nanoparticles in the presence of immobilized on GO–CeO2 nanocomposites was investigated by a range of ball milling conditions for the PROX reaction. First, GO–CeO2 nanocomposites were fabricated using the combination of ball milling and hydrothermal methods, and then, the gold nanocomposites were activated at 400 ± 2 °C for 4 h in Ar atmosphere. Next, Au/GO–CeO2 catalysts were synthesized, and after that, the gold nanocontents calcined at 400 ± 2 °C in Ar gas during 4 h. The catalytic activity and selectivity of activated gold catalysts (Au/GO–CeO2) were studied for the preferential CO oxidation at optimized conditions from the ambient temperature to 175 ± 2 °C. The gas and vapor phase components were analyzed by a Fourier Transform Infrared Spectroscopy. The effects of ball mill’s parameters, such as milling time, bead amounts, loading percentage, and milling temperatures, on the catalytic activity and selectivity of gold catalysts were investigated. Under relatively optimized conditions, the results showed the high conversion (C%: 97) and selectivity (S%: 92) for the gold nanocatalysts at 150 °C reaction time towards CO2 as the main product when the Au/GO–CeO2 nanocatalysts were synthesized by the use of 12% of GO solution with 90 zirconia oxide balls at 70 °C for 8 h of the ball milling condition.