First-principles calculations of the electronic structure of CeO2 nanoparticles (NPs) were performed to investigate published experimental data obtained by different spectroscopies. The main features of the valence and conduction bands have been analyzed from the total and partial density of states. Several functionals were applied to interpret and quantify the optical properties, including the dielectric function, extinction coefficient and refractive index. It is found that the on-site hybrid functional B3PW91 modelled most suitably the band gap region of CeO2 NPs and consequently gave a more accurate band gap value. It also agreed very well with the experimental values especially in the visible-ultraviolet optical range.