We report on a comparative study of 5.5 nm (embedded in an ordered mesoporous silica matrix) and 100 nm (free) (photo)magnetic CoFe Prussian blue analogue (PBA) particles. Co and Fe K-edge X-ray absorption spectroscopy, X-ray diffraction, infrared spectroscopy, and magnetic measurements point out a core-shell structure of the particles in their ground states. In the 5.5 nm particles, the 11.5 angstrom thick shell is made of Fe(CN)(6) entities and Co-II-NC-Fe-III linkages departing from the geometry usually encountered in PBA, whatever the oxidation state ((CoFeIII)-Fe-II or (CoFeII)-Fe-III) of the CoFe pairs in the core. In the photomagnetic particles, the photomagnetic effect in the core of the particles is due to the same photoinduced Co-III(LS)Fe-II -> Co-II(HS)Fe-III electron transfer whatever the size of the particles. The shell of the nanoparticles exhibits a peculiar photoinduced structural rearrangement, and the nanoparticles in their photoexcited state exhibit a superparamagnetic behavior.