In the current study, CaFe2O4 nanoparticles and CaO/CaFe2O4 composite nanocatalysts were synthesized via auto-combustion techniques utilizing citric acid as a chelant. The solution was first prepared and then subsequently transformed into a gel by combustion at 100 °C. The gel was then calcined at 550 °C and calcium oxide was loaded using an ultrasonic approach. In particular, the CaO/CaFe2O4 was investigated as potential catalyst for transesterification of waste cooking oil. The catalyst was characterised by methods including X-ray diffraction (XRD) and Fourier transform infrared (FTIR). X-ray diffraction and FTIR studies confirmed the successful preparation of CaFe2O4 nanoparticles and CaO/CaFe2O4 composite materials. The optimum values of variables considered in the synthesis of biodiesel were predicted using ANOVA and it was in good agreement with the experimental results. The CaO/CaFe2O4 catalyst (4 wt.%) showed high activity for the transesterification reaction achieving a biodiesel yield of 96.13% after 2 hours at 70 °C and methanol-to-oil molar ratio of 12:1. An excellent stability of the catalyst was achieved demonstrating a high biodiesel yield of 78.5% after five consecutive transesterification cycles.