Despite intense research in the field of strongly correlated electron behavior for the past few decades, there has been very little effort to understand this phenomenon in nanoparticles of the Kondo lattices. In this paper, we review the results of our investigation on the fine particles (<<1 μm) of some of the alloys obtained by high-energy ball-milling, to bring out that this synthetic method paves a way to study strong electron correlations in nanocrystals of such alloys. We primarily focus on the alloys of the series CeRu(2 - x)Rh(x)Si2, lying at different positions in Doniach's magnetic phase diagram. While CeRu2Si2, a bulk paramagnet, appears to become magnetic (of a glassy type) below about 8 K in fine particle form, in CeRh2Si2, an antiferromagnet (T(N) = 36 K) in bulk form, magnetism is destroyed (at least down to 0.5 K) in fine particles. In the alloy CeRu0.8Rh1.2Si2, at the quantum critical point known to exhibit non-Fermi liquid behavior in the bulk form, no long range magnetic ordering is found.