Binary CeO2–MgO oxides with various Ce/Mg mol ratios were prepared by the co-precipitation method and were tested in the dehydrogenation of ethylbenzene to styrene. The obtained materials were characterized by N2 adsorption, X-ray diffraction, and X-ray photoelectron spectroscopy. The N2 adsorption showed that CeO2–MgO oxides were mesoporous materials and the BET surface area increased with increasing magnesia content. The fluorite type structure of ceria was observed in samples with low magnesia content while the mixture of the ceria phase and the magnesia phase existed simultaneously in samples with high magnesia content. The results showed that the Ce4+–Mg2+–O2− couple in CeO2/MgO catalyst could be supposed to be an active site in the dehydrogenation of ethylbenzene.