The ultrafast dynamics of excited states in cerium oxide are investigated to access the early moments of polaron formation, which can influence the photocatalytic functionality of the material. UV transient absorbance spectra of photoexcited CeO2 exhibit a bleaching of the band edge absorbance induced by the pump and a photoinduced absorbance feature assigned to Ce 4f → Ce 5d transitions. A blue shift of the spectral response of the photoinduced absorbance signal in the first picosecond after the pump excitation is attributed to the dynamical formation of small polarons with a characteristic time of 330 fs. A further important result of our work is that the combined use of steady-state and ultrafast transient absorption allows us to propose a revised value for the optical gap for ceria (Eog = 4 eV), significantly larger than usually reported.