CuCr2Se4 nanoparticles were obtained by the high-energy ball milling of CuCr2Se4 single crystals, which had a size of approximately 32 nm after 5 h of milling. Structural, magnetic, and electrical studies have shown that a reduction in CuCr2Se4 single crystals to the nanosize leads to (1) a weakening of ferromagnetic interactions, both long and short range, (2) a lack of saturation of magnetization at 5 K and 70 kOe, (3) a change in the nature of electrical conductivity from metallic to semiconductor, and (4) a reduction in the thermoelectric power factor S2σ by an order of magnitude of 400 K. The above results were considered in terms of the parameters of the band model, derived from the high-temperature expansion of magnetic susceptibility and from the diffusive component of thermoelectric power. Theoretical calculations showed a significant weakening of both the superexchange and double exchange mechanisms, a reduction in the [Cr3+,Cr4+] band width from 0.76 to 0.19 eV, and comparable values of the Fermi energy and the activation energy (0.46 eV) in the intrinsic region of electrical conductivity. The main advantage of high-energy ball milling is the ability to modify the physicochemical properties of already existing compounds for desired applications.