A series of polyimide/CeO₂ nanocomposite films were fabricated based on three polymer matrices. The prepared films were characterized by scanning electron microscopy (SEM), thermomechanical analysis (TMA), and also simultaneous thermogravimetric (TGA) and differential thermal analysis (DTA), the latter two having been performed both in air and in inert (argon) atmosphere. Ceria nanoparticles were shown to be well dispersed in the PI matrix. TGA analysis revealed that the effect of ceria nanoparticles on thermal and thermo-oxidative stability of the nanocomposites depends strongly on the chemical nature of the polyimide. Thus, thermal properties of a nanocomposite based on the polyimide containing SO₂-groups in the elementary unit of the polymer chain were found to be substantially enhanced upon incorporation of the nanoparticles in the matrix. In contrast, the polyimide with no sulfonic groups had a decreased thermo-oxidative stability being doped with CeO₂ nanoparticles. The possible mechanism of polymer matrix – ceria nanoparticles interactions determining the nanocomposite thermal stability change is discussed.