High pressure-induced spectral changes in a 20-nm cubic nanocrystalline yttria doped with europium and its corresponding bulk were studied in the range of 550–750 nm, corresponding to the 5D0 → 7FJ (J = 0–4) transitions. The results demonstrate that the bulk Y2O3 underwent phase transition from the cubic phase to the monoclinic phase as the pressure increased to 15 GPa, while the 20-nm nanocrystals did not. This can be concluded from the fact that the 5D0 → 7F0 line and the three 5D0 → 7F1 sublines originating from the cubic phase disappeared, while another group of 5D0 → 7F0 and 5D0 → 7F1 lines appeared. In addition, the relative intensity of the peak around 630 nm to that around 611 nm varied obviously as the pressure surpassed 15 GPa. The variations in the nanocrystals were more sluggish in comparison to those in the bulk, indicating that the nanocrystalline yttria had improved compressibility, which is attributed to an increased surface energy in nanocrystals. The local environment surrounding luminescent Eu3+ in the nanocrystals and the bulk both became more disordered with the increase of the pressure. The phase transition from the cubic to the monoclinic is irreversible.