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.