With a unique structure and extraordinary properties, graphene has attracted tremendous attention in the preparation of graphene-based composites for various applications. In this study, two different strategies, including in situ growth and a self-assembly approach, have been developed to load CeO2 nanoparticles onto reduced graphene oxide (RGO) nanosheets. The microstructure and morphology of the as-synthesized RGO/CeO2 nanocomposites were investigated by x-ray diffraction, Raman spectroscopy and transmission electron microscopy. The results reveal that CeO2 nanoparticles with well-controlled size and a uniform distribution on RGO sheets with tunable density can be achieved through the self-assembly approach. The significantly enhanced photocatalytic activity of the RGO/CeO2 nanocomposites in comparison with bare CeO2 nanoparticles was revealed by the degradation of methylene blue under simulated sunlight irradiation, which can be attributed to the improved separation of electron-hole pairs and enhanced adsorption performance due to the presence of RGO. A suitable loading content of CeO2 on RGO was found to be crucial for optimizing the photocatalytic activity of the nanocomposites. It is expected that this convenient assembly approach with high controllability can be extended to the attachment of other functional nanoparticles to RGO sheets, and the resultant RGO-supported highly dispersed nanoparticles are attractive for catalysis, sensing and power source applications.