As the most common type of harsh environment sensors, high temperature gas sensors are of paramount importance to improve combustion efficiency and control emissions. In this study, large scale and polycrystalline CeO₂ nanofibers were prepared with an average diameter of 376 ± 55 nm using a facile two-step synthesis route including electrospinning and calcination. The as-prepared CeO₂ nanofibers show good morphological and structural stability in high temperature environment (800–1000 °C). CeO₂ nanofibers were further employed for in situ, real-time oxygen (O₂) and carbon monoxide (CO) sensing at 800 °C and 1000 °C, respectively, both of which showed sensitive, reversible, and reproducible response. The mechanism for distinguishable response towards O₂ and CO was discussed. These results indicate that electrospun CeO₂ nanofibers are a promising nanomaterial for gas sensing in harsh environments.