We report on results from high-energy spectroscopic measurements on CeFe2, a system of particular interest due to its anomalous ferromagnetism with an unusually low Curie temperature and small magnetization compared to the other rare earth-iron Laves phase compounds. Our experimental results indicate very strong hybridization of the Ce 4f states with the delocalized band states, mainly the Fe 3d states. In the interpretation and analysis of our measured spectra, we have made use of two different theoretical approaches: The first one is based on the Anderson impurity model, with surface contributions explicitly taken into account. The second method consists of band-structure calculations for bulk CeFe2. The analysis based on the Anderson impurity model gives calculated spectra in good agreement with the whole range of measured spectra, and reveals that the Ce 4f -- Fe 3d hybridization is considerably reduced at the surface, resulting in even stronger hybridization in the bulk than previously thought. The band-structure calculations are ab initio full-potential linear muffin-tin orbital calculations within the local-spin-density approximation of the density functional. The Ce 4f electrons were treated as itinerant band electrons. Interestingly, the Ce 4f partial density of states obtained from the band-structure calculations also agree well with the experimental spectra concerning both the 4f peak position and the 4f bandwidth, if the surface effects are properly taken into account. In addition, results, notably the partial spin magnetic moments, from the band-structure calculations are discussed in some detail and compared to experimental findings and earlier calculations.