We have carefully measured the hydrostatic compressibility and thermal expansion for a series of magnesia nanoparticles. We found a strong variance in these mechanical properties as crystallite size changed. For decreasing crystallite sizes, bulk modulus first increased, then reached a modest maximum of 165 GPa at an intermediate crystallite size of 14 nm, and then decreased thereafter to 77 GPa at 9 nm. Thermal expansion, meanwhile, decreased continuously to 70% of bulk value at 9 nm. These results are consistent to nano-ceria and together provide important insights into the thermal-mechanical structural properties of oxide nanoparticles.