Nanostructured transition metal dichalcogenide MnSe2 has attracted much attention due to its fascinating magnetic properties. In this article, a series of MnSe2 nanoparticles with different particle sizes are successfully prepared by a facile top‐down method of solid‐state reaction combined with ball milling, and the effects of ball milling on the phase composition, microstructure and magnetic properties of the MnSe2 are systematically studied. The results show that pure MnSe2 microparticles are obtained by the solid‐state reaction, however, partial MnSe2 is decomposed after ball milling for 16 h. The average particle size of the MnSe2 gradually decreases with the increase of milling time. MnSe2 nanoparticles with average particle size approximately 65 nm are obtained after milling for 40 h. After milling, the antiferromagnetic MnSe2 nanoparticles exhibit weak ferromagnetic characteristics due to the surface effect and the microstrain induced by ball milling. The residual magnetization (Mr) and coercivity (Hc) of the sample gradually increase as the particle size decreases. The Mr and Hc of the sample milled for 40 h reach 70.13 × 10−4 emu g−1 and 67.47 Oe, respectively.