Rare earth doped materials have many familiar applications (TV screens, solid lasers, scintillators…) thanks to their efficient and robust luminescence properties. In recent years, growing interest has been focused on the changes in their optical properties with the size of the host particles. In this work, nanomaterials were produced for the first time by using laser pyrolysis. Y, Gd, and Eu nitrates were dissolved in water and used as precursors. Cubic phases of Y2O3:Eu3+ and Gd2O3:Eu3+ were obtained with sizes ranging from 3 to 40 nm. The spectroscopic properties revealed a new and nanostructure-specific broad band in the excitation spectrum. The emission spectrum was found to be characteristic of nanostructured sesquioxides only when excited in this new band, which was finally assumed to be a new charge transfer band for the smallest nanoparticles in the sample.