We report on a comparative study of 5.5 nm (embedded in an ordered mesoporous silica matrix) and 100 nm (free) (photo)magnetic CoFe Prussian blue analogue (PBA) particles. Co and Fe K-edge X-ray absorption spectroscopy, X-ray diffraction, infrared spectroscopy, and magnetic measurements point out a core-shell structure of the particles in their ground states. In the 5.5 nm particles, the 11.5 Å thick shell is made of Fe(CN) entities and Co-NC-Fe linkages departing from the geometry usually encountered in PBA, whatever the oxidation state (CoFe or CoFe) of the CoFe pairs in the core. In the photomagnetic particles, the photomagnetic effect in the core of the particles is due to the same photoinduced Co(LS)Fe → Co(HS)Fe electron transfer whatever the size of the particles. The shell of the nanoparticles exhibits a peculiar photoinduced structural rearrangement, and the nanoparticles in their photoexcited state exhibit a superparamagnetic behavior.