Volatile organic compounds (VOCs), methane, carbon monoxide, soot, automotive exhaust, and nitrogen oxides are harmful to the atmosphere and human health. It is urgent to strictly control their emissions. Heterogeneous catalysis is an effective pathway for the removal of these pollutants, and the critical issue is the development of novel and high-performance catalysts. In this review, we briefly summarize the preparation methods, physicochemical properties, catalytic activities, and related reaction mechanisms for the above pollutants removal of the rare earth oxides, mixed rare earth oxide, rare earth oxide-supported noble metal, and mixed rare earth oxide-supported noble metal catalysts that have been investigated by our group and other researchers. It was found that catalytic performance was associated with the factors, such as specific surface area, pore structure, particle size and dispersion, adsorbed oxygen species concentration, reducibility, reactant activation ability or interaction between metal nanoparticles and support. Furthermore, we also envision the development trend of such a topic in future work.