In this paper, we present a detailed study on the critical property around the ferromagnetic (FM)–paramagnetic phase transition of Pr_0.6Sr_0.4MnO₃ nanoparticles (NPs) with different crystallite sizes (d = 39–88 nm), which were synthesized by the combination of the solid-state reaction and mechanical milling methods. The magnetic results show that the samples undergo the second-order phase transition. The values of the Curie temperature (TC) slightly decrease from 291 to 286 K while the saturation magnetization (MS) decreases from 89.7 to 76.3 emu/g and the coercivity (HC) increases from 322 to 585 Oe with decreasing d from 88 to 39 nm, respectively. Based on the modified Arrott plot method and the isothermal magnetization data around TC, we have determined the values of critical exponents (β, γ, and δ) and TC for the samples. The critical exponents β = 0.486 − 0.495, γ = 1.009 − 1.042, and δ = 3.038 − 3.118 obtained are close to those expected for the mean field theory (β = 0.5, γ = 1, and δ = 3). This proves that long-range FM interactions are present in the NPs. Furthermore, β values are smaller than 0.5, indicating the existence of magnetic inhomogeneity in the NPs. Besides the investigation into the critical behavior, the magnetocaloric effect of the NPs is also investigated.