Nanosize Sr hexaferrite particles (SrM) were synthesized via a citrate-based sol-gel route. Thermal decomposition of a citrate precursor proceeds in a two-step process: at low temperature T1 the precursor decomposes into maghemite and Sr carbonate, and transforms into hexaferrite upon a second treatment at another temperature T2. A synthesis protocol with T1 = 350°C and T2 = 650°C gives ferrite particles with size of below 100 nm. A systematic study of reaction conditions revealed, that formation of a hematite-free decomposition product at T1 is the prerequisite for the synthesis of single-phase hexaferrite nanosize particles. The hexaferrite particles exhibit a saturation magnetization at room temperature of Ms = 58 emu/g with a coercivity of Hc = 3.7 kOe. Further fine-milling of the as-synthesized hexaferrite in aqueous media gives particles below 50 nm in size with Ms = 48 - 54 emu/g and Hc = 4.2 - 5.5 kOe under preservation of the M-type structure. Annealing of ferrite particles in Ar/5%H2 atmosphere at 350°C results in magnetite formation; iron is found at T > 450°C after complete hexaferrite decomposition; hence SrM@Fe nanocomposites are not accessible via particle reduction of SrM particles.