A new method to directly synthesize single-crystalline CeO2 nanoparticles has been developed. The advantages of the method are rapid synthesis, at normal atmosphere, 100% productive ratio and low cost, with a great potential for scale-up. X-ray diffraction (XRD) spectra showed unusual peak width versus particle size, compared with Scherrer equation predictions. Scanning electron microscopy (SEM), transmission electron microscopy (TEM), high-resolution TEM (HRTEM), electron diffraction and ultraviolet (UV) absorption were used to examine the particle size and microstructure to find out the cause. As a result, ultrafine particles with a size less than 6 nm were found to be self-assembled into a 'coherent interface', so that a large group of particles behave like a large single particle in XRD.