The size effects on the high pressure behaviors of monoclinic (MI) ZrO₂ nanoparticles were studied using in situ high pressure synchrotron X-ray diffraction (XRD) and X-ray absorption spectroscopy (XAS). A size-dependent phase transition behavior under high pressure was found in nanoscale ZrO₂. The normal phase transition sequence of MI–orthorhombic I (OI)–orthorhombic II (OII) occurs in 100–300 nm ZrO₂ nanoparticles, while only the transition of MI–OI exists in ultrafine ∼5 nm ZrO₂ nanoparticles up to the highest experimental pressure of ∼52 GPa. This indicates that the size effects preclude the transition from the OI to the OII phase in ∼5 nm nanoparticles. Upon decompression, the OII and OI phases are retained down to ambient pressure, respectively. This is the first observation of the pure OI phase ZrO₂ under ambient conditions. The bulk moduli of the MI ZrO₂ nanoparticles were determined to be B₀ = 192 (7) GPa for the 100–300 nm nanoparticles and B₀ = 218 (12) GPa for the ∼5 nm nanoparticles. We suggest that the significant high surface energy precludes the transition from the OI to the OII phase and the nanosize effects enhance the incompressibility in the ultrafine ZrO₂ nanoparticles (∼5 nm). Our study indicates that this is a potential way of preparing novel nanomaterials with high pressure structures using nanosize effects.