In this study, Ce0.95−xDyxCa0.02Bi0.03O2−δ (x = 0, 0.05, 0.10, 0.15, and 0.20) electrolyte powders were synthesized via the sol–gel method. Phase structure, surface chemical state and defect, micromorphology, direct band gap, thermal expansion, and electrical properties were characterized using X-ray diffraction (XRD), X-ray photoelectron and Raman spectroscopy, field emission scanning electron microscopy (FESEM), UV–Visible spectroscopy, thermal dilatometer, and AC impedance spectroscopy, respectively. XRD results confirmed formation of a single phase with cubic fluorite structure for all samples. XPS study and Raman spectroscopy analysis revealed the existence of oxygen vacancies in all the compositions. The estimated concentration of oxygen vacancies first increased and then decreased with the increase of Dy3+ doping content. The oxygen vacancy concentration was found to be highest for Ce0.85Dy0.1Ca0.02Bi0.03O1.915 composition among all the samples. FESEM analysis revealed a high density in the microstructure of all samples, and the average grain size of the sample x = 0.10 was larger than that of the other samples. UV–Vis spectroscopy showed the minimized direct band gap for Ce0.85Dy0.10Ca0.02Bi0.03O1.915. Impedance spectroscopy measurements revealed the highest total electrical conductivity and the lowest activation energy for the same composition Ce0.85Dy0.1Ca0.02Bi0.03O1.915, i.e., 3.53 × 10−2 S/cm at 700 °C and 0.79 eV, respectively. Linear thermal expansion results of all the samples showed moderate thermal expansion coefficients (TECs). Therefore, Ce0.85Dy0.1Ca0.02Bi0.03O1.915 is expected to be used as an electrolyte material for intermediate-temperature solid oxide fuel cells (IT-SOFCs).