Prussian blue (PB) and its analogues (PBAs) have been acknowledged as promising materials for the catalysis, energy storage, and bioapplications because of different constructions and tunable composition. The approach for surface modification with metal oxides for boosting the performance, however, is rarely reported. Herein, a facile surface anchoring strategy has been proposed to realize CeO nanocrystals uniformly depositing on the surface of PB. Besides, the size, thickness, and depositing density of CeO nanocrystals can be regulated by adjusting the amount of the precursor and the proportion of ethanol and deionized water. Furthermore, after a step of confined pyrolysis treatment under an air atmosphere, CeO nanocrystals with an encapsulated iron oxide structure have been obtained. This shows a remarkable cycling and rate performance when evaluated as an anode of the lithium-ion battery. The surface anchoring approach of the CeO nanocrystals may not only promote the various applications of PB-based materials but also provide an opportunity for developing the architecture of other CeO-based core-shell nanostructures.