Development of nanometer-sized magnetic particles exhibiting a large coercive field (Hc) is in high demand for densification of magnetic recording. Herein, we report a single-nanosize (i.e., less than ten nanometers across) hard magnetic ferrite. This magnetic ferrite is composed of ε-Fe2O3, with a sufficiently high Hc value for magnetic recording systems and a remarkably high magnetic anisotropy constant of 7.7 × 106 erg cm−3. For example, 8.2-nm nanoparticles have an Hc value of 5.2 kOe at room temperature. A colloidal solution of these nanoparticles possesses a light orange color due to a wide band gap of 2.9 eV (430 nm), indicating a possibility of transparent magnetic pigments. Additionally, we have observed magnetization-induced second harmonic generation (MSHG). The nonlinear optical-magnetoelectric effect of the present polar magnetic nanocrystal was quite strong. These findings have been demonstrated in a simple iron oxide, which is highly significant from the viewpoints of economic cost and mass production.