Nanoparticles of gamma -Fe2O3 with a mean particle size of 9 nm (an average nanograin size of 4 nm) have been prepared by an electrical explosion method through one-step. The particles were nearly equiaxed. The particle size distribution fits with log-normal distribution law as identified by SAXS. The coercivity and the saturation magnetization of the sample were determined to be as about 30% of those of the bulk materials by VSM. A possible mechanism for the formation of the gamma -Fe2O3 was proposed.