The search for p-type metal oxides with high gas response and stability is an important issue in gas sensor technology. In this work the p-type gas sensing properties of orthorhombic CaFe2O4 are demonstrated for the first time. CaFe2O4 nanopowders were successfully synthesized by the sol-gel auto-combustion method. The formation of orthorhombic CaFe2O4 compound was confirmed by X-ray diffraction, energy-dispersive X-ray spectroscopy, and X-ray photoelectron spectroscopy analyses. The synthesized CaFe2O4 compound showed p-type gas sensing behaviour and high gas response towards ethanol (Rg/Ra = 41.5) at a concentration of 100 ppm. Moreover, the CaFe2O4 material tested during the experiments showed good stability.