A catalyst-containing ceramic dust filter for off-gas or exhaust gas cleaning is prepared by a method comprising the steps of making a water-based impregnation slurry, which comprises a catalytically effective amount of at least one catalytically active metal and an oxide support, to form a catalytically active metal oxide support, impregnating the filter substrate with the impregnation slurry, spraying from the inside to control the amount of liquor while leaving the outer few millimeters of the filter wall dry, and drying the impregnated filter. The impregnated filter is preferably dried by using microwave energy.