A novel urea grind combustion (UGC) route was reported in this paper to rapidly prepare the ceria-zirconia nanoparticles (Ce0.8Zr0.2O2). For comparison, the conventional surfactant-assisted (SA) and sol-gel (SG) methods were also employed to prepare Ce0.8Zr0.2O2 nanoparticles. CO preferential oxidation in H2-rich stream (CO-PROX) was chosen as probe reaction to investigate the catalytic performance of these Ce0.8Zr0.2O2 catalysts prepared with different methods to highlight the superiority of UGC. It was found that Ce0.8Zr0.2O2-UGC showed the better reducibility and oxygen mobility than the Ce0.8Zr0.2O2 prepared by SA and SG, because the UGC route favored the more incorporation of zirconia into CeO2, leading to more serious distortion of the structure, and more defective sites in the Ce0.8Zr0.2O2. As a result, Ce0.8Zr0.2O2-UGC exhibited the higher CO conversion, better O2 selectivity, and excellent catalytic stability without any deactivation during 72-h reaction on stream. More importantly, the UGC method, as compared to the relatively complex and time-consuming SA and SG method, is simple, facile, low-cost, time-saving (within 30 minutes) and scalable, thereby, might be very promising for the application in many fields.