Currently, most feed grains are processed by either hammer mill or roller mill before the inclusion in pig diets. However, the effect of these two types of milling and particle size on the performance and feed utilisation has not been adequately examined. The effect of milling processing (hammer mill v. roller mill), particle size, and feeding method (liquid v. dry) was assessed in a factorial design with 120 weaner pigs over 21 days. These pigs had been weaned for 7 days when the experiment commenced. The results revealed that pigs fed on hammer-milled diets had a better performance than those on roller-milled diets. Particle size of hammer-milled diets did not affect the performance of pigs, but influenced the digestible energy content of the diets. However, the feed conversion ratio was poorer for pigs fed coarsely or medium roller-milled diets only at Day 7–14 after weaning. There was a marked advantage in terms of feed efficiency associated with liquid feeding. For pigs offered the hammer-milled diets between 0 and 14 days, simply adding the feed to water improved feed efficiency by some 22%. For the roller-milled diets the corresponding improvement in feed efficiency was 28%. Liquid feeding improved digestible energy (DE) value by 1.5 MJ/kg for medium particle size and depressed DE value by 0.8 MJ/kg for fine particle size for hammer mill. Liquid feeding improved DE values for both medium and fine particle treatments by 0.9 MJ/kg for roller-milled diets. It should be noted that the full advantages of liquid feeding could only be taken if feed wastage from this system can be minimised as much as possible.The study was conducted to investigate if processing method (roller v. hammer mill), particle size (coarse, medium, and fine), and feeding method (liquid v. dry) significantly improved the growth rate, feed intake, and feed conversion of the weaner pig.