A method of milling cerium compound by means of a ball mill using a milling medium, characterized in that ratio Hb/r of radius r of a cylindrical ball mill container and depth Hb of the milling medium in the ball mill container disposed horizontally ranges from 1.2 to 1.9, and the ball mill container is rotated at a rotational speed which is 50% or less of critical rotational speed Nc=299/r1/2 of the ball mill container converted from the radius r expressed in centimeter. The milling method can be carried out in a wet or dry process, and the cerium compound is preferably cerium oxide. The method can be also applied for producing a cerium compound slurry.