Cerium compounds have been used as a fuel-borne catalyst to lower the generation of diesel exhaust particles (DEPs), but are emitted as cerium oxide nanoparticles (CeO2) along with DEP in the diesel exhaust. The present study investigates the effects of the combined exposure to DEP and CeO2 on the pulmonary system in a rat model. Specific pathogen-free male Sprague–Dawley rats were exposed to CeO2 and/or DEP via a single intratracheal instillation and were sacrificed at various time points post-exposure. This investigation demonstrated that CeO2 induces a sustained inflammatory response, whereas DEP elicits a switch of the pulmonary immune response from Th1 to Th2. Both CeO2 and DEP activated AM and lymphocyte secretion of the proinflammatory cytokines IL-12 and IFN-γ, respectively. However, only DEP enhanced the anti-inflammatory cytokine IL-10 production in response to ex vivo LPS or Concanavalin A challenge that was not affected by the presence of CeO2, suggesting that DEP suppresses host defense capability by inducing the Th2 immunity. The micrographs of lymph nodes show that the particle clumps in DEP + CeO2 were significantly larger than CeO2 or DEP, exhibiting dense clumps continuous throughout the lymph nodes. Morphometric analysis demonstrates that the localization of collagen in the lung tissue after DEP + CeO2 reflects the combination of DEP-exposure plus CeO2-exposure. At 4 weeks post-exposure, the histological features demonstrated that CeO2 induced lung phospholipidosis and fibrosis. DEP induced lung granulomas that were not significantly affected by the presence of CeO2 in the combined exposure. Using CeO2 as diesel fuel catalyst may cause health concerns.