Nanostructured CeO2 powder was synthesized by a thermochemical process and its applicability as an oxygen gas sensor was investigated. An amorphous precursor was prepared by spray drying a cerium-nitrate solution and then heat-treated in air to induce evaporation of volatile components from the precursor powder, which then forms nanostructured ceria. The powder produced possessed a loose agglomerated structure with extremely fine CeO2 particles about 15 nm in size, resulting in a very high specific surface area (110 m2/g). The average grain size of a specimen sintered from the ceria powder at 1000 oC was about 40 nm, and its oxygen sensitivity n (logσ log(PO2 /Po)-n) was about 1/4 at 600 oC. The response time t90, time for responding to a change of oxygen partial pressure, of the specimens sintered at 800 ~ 1100 oC was very short, i.e., 3 ~ 5 seconds: The signal output was almost identical and uniformly repeated in a stable manner.