Effects of nano particle sizes on phase transformation of CeO₂ were studied under high pressure up to 36 GPa. The experiments were carried out using angle dispersive x-ray diffraction and Raman scattering at room temperature. Pressure was generated using a Merill-Bassette type diamond anvil cell with 4:1 Methanol:Ethanol pressure transmitting medium. The pressures were determined using the shift of R1 fluorescence line from ruby crystal. Two dimensional x-ray diffraction patterns were recorded on an image plate. The Raman spectra of 250 - 700 cm¯¹ with a spectral resolution of 1.7 cm¯¹ were recorded by using the 514.5 nm line from an Ar-ion laser with the power of 50 mW. At ambient condition, the first order Raman frequency decreases with the decreasing particle sizes and the lattice constant increases with the decreasing particle sizes. With the increasing pressure, the first order Raman frequency is linear dependence with pressure. For nano-CeO₂with particle sizes of 10.5±3.7 nm, 36.8±16.0 nm, and 53.2±14.3 nm start phase transformation from fluorite to α-PbCl₂ structure at pressure of 24.36±4.76 GPa, 25.50±2.07 GPa, and 25.67±3.08 GPa, respectively, which is less than that reported for bulk CeO₂ (~31 GPa). It shows that the transition pressure of the nano-CeO₂ decreases with the decreasing particle sizes.