CeO₂/PPy nanocomposites were synthesized via in situ chemical oxidative polymerization of pyrrole based on the two kinds of amine-functionalized CeO₂ nanoparticles with 3-triethoxysilylpropylamine (APTES) or p-aminobenzoic acid (PABA), respectively. The morphology and structure of the CeO₂/PPy samples with different interface interactions were comparatively investigated by transmission electron microscopy, Brunauer–Emmett–Teller equation, Fourier transform infrared spectroscopy, UV–vis, X-ray diffraction analysis, X-ray photoelectron spectroscopy, and thermal gravimetric analysis. It was found that the introduction of the amine-functionalized CeO₂ nanoparticles into the PPy matrix significantly enhanced the thermal stability and electrical conductivity of the resulting nanocomposites. As an electrode material for electrochemical supercapacitors, the CeO₂/PPy nanocomposites with different amine-functionalized CeO₂ nanoparticles were characterized by galvanostatic charge/discharge (GCD) and cyclic voltammetry (CV) tests. The CeO₂/PPy nanocomposites showed improved electrochemical performance in comparison with the pure PPy. The P-CeO₂/PPy nanocomposites synthesized with the PABA-functionalized CeO₂ nanoparticles (P-CeO₂) exhibited a higher specific capacitance, while those with the APTES-functionalized CeO₂ nanoparticles (A-CeO₂) possessed the higher cycling stability.