Dy 2 O 3 -coated Dy nanoparticles and Al 2 O 3 -coated Dy nanocapsules, with Dy cores with the average size of 3.6 and 17.6 nm, respectively, are synthesized by arc-discharge technique. The transition from ferromagnetism to antiferromagnetism absents in the Dy nanoparticles, due to that its average core size of 3.6 nm is smaller than the helix period of Dy. The temperature of the superparamagnetismantiferromagnetism transition in the Dy nanocapsules increases abnormally to 105 K, while the Néel temperature decreases to 150 K. The magneticentropy change (-DS m ) of the Dy nanoparticles rapidly increases with decreasing temperature. For Al 2 O 3 -coated Dy nanocapsules, -DS m reaches 15.2 J kg -1 K -1 at 7.5 K, due to the existence of superparamagnetism, and a peak (5.2 J kg -1 K -1 ) appears at 105 K due to the superparamgantism-antiferromagnetism transition, and -DS m exceeds 2 J kgin the temperature range from 7.5 to 105 K, for a field change from 1 to 5 T.