Phase control of alumina nanoparticles (NPs) is successfully shown by wire explosion process under gas ambient. Aluminium wire was exploded at different levels of energy in oxygen ambient under pressures of 20 and 180 kPa. X-ray diffraction patterns indicate that the 20 kPa tests yield δ-alumina while 180 kPa tests yield γ-alumina NPs with an appropriate value of energy. Spherical NPs were obtained as visualised from SEM and TEM micrographs. Size of NPs decreased with an increase in energy and/or a decrease in pressure of oxygen. The formation mechanism of different phases and sizes of NPs are detailed in this paper.