The irradiation of a Nd-YAG pulsed laser on the CeO2 target in water was investigated. The CeO2 nanoparticles sized of 20-80 nm were formed in water, while the power density was larger than 32 kJ/cm2. The nanocrystalline films with grain sized of 50-150 nm were formed on the target with the energy density of 20 kJ/cm2-25 kJ/cm2. Finally, the amorphous films were formed with the energy density of 6 kJ/cm2-15 kJ/cm2. The formation mechanisms of the nanoparticles and the films were discussed.