We studied the effect of particle size on the structure and magnetic properties of La0.6Pb0.4MnO3 compounds with particle diameters varying from 5 to 100 nm. With decreasing particle size, the increase of the rhombohedral distortion narrows the bandwidth WO2p and hence results in the decrease of ferromagnetic transition temperature. At the same time, the magnetic domain structure evolves from multidomain to single domain, and finally a superparamagnetic behavior is detected. The critical single domain size determined by experiment is about 25 nm, and the critical superparamagnetic behavior size obtained by calculation is 5.8 nm. It is found that the variation of coercivity is related to the evolution of magnetic domain states with particle size, and the saturation magnetization decreases significantly due to the increasing contribution of the surface effect with decreasing particle size.