To afford highly efficient catalytic oxidation of alcohols, the enhancement of the visible-light photocatalytic activity of CeO2 has attracted significant attention. With regard to the photocatalytic oxidation of alcohols, chemisorbed oxygen on CeO2 nanostructures plays an important promoter role. Therefore, a deeper understanding regarding the formation and detailed role of chemisorbed oxygen on the CeO2 nanostructure is highly desirable. In this study, we successfully obtained CeO2 photocatalysts that yielded chemisorbed oxygen at different concentrations via hydrolyzing Ce(NO3)3 under the saturated atmospheres of Ar, air, and O2 (denoted as CeO2–Ar, CeO2–air, and CeO2–O2, respectively). The visible-light (≥400 nm) photocatalytic performance of the CeO2–O2 photocatalysts (∼100% selectivity and conversion) in the selective oxidation of benzyl alcohol was enhanced by a factor of 1.54 and 1.43 as compared to those of the CeO2–Ar and CeO2–air samples, respectively, owing to the varying concentrations of chemisorbed oxygen on the CeO2–Ar, CeO2–air and CeO2–O2 photocatalysts. Based on our detailed characterizations relative to chemisorbed oxygen, the enhancement mechanism of chemisorbed oxygen was proposed for CeO2 photocatalysts. At first, the O2 molecules were chemisorbed at the Ce(III) sites, forming a Ce peroxo structure, which facilitated the harvesting of visible light by CeO2 photocatalysts. Thereafter, this Ce peroxo structure could easily capture photoexcited electrons, yielding O2˙− that collaboratively activated the photocatalytic oxidation reaction with holes. Furthermore, the Ce(III) defect sites chemisorbed the oxygen involved in the reaction system to produce the Ce peroxo structure again. This recycling procedure can undoubtedly increase the utilization efficiency of chemisorbed oxygen and thus enhance the visible-light photocatalytic activity of CeO2.