The effect of α-Al₂O₃ nanoparticles (up to 5 wt.%) on the physical, mechanical, and thermal properties, as well as on the microstructural evolution of a dense magnesia refractory is studied. Sintering temperatures at 1300, 1500, and 1600 °C are used. The physical properties of interest were bulk density and apparent porosity, which were evaluated by the Archimedes method. Thermal properties were examined by differential scanning calorimetry. The mechanical behavior was studied by cold crushing strength and microhardness tests. Finally, the microstructure and mineralogical qualitative characteristics were studied by scanning electron microscopy and X-ray diffraction, respectively. Increasing the sintering temperature resulted in improved density and reduced apparent porosity. However, as the α-Al₂O₃ nanoparticle content increased, the density and microhardness decreased. Microstructural observations showed that the presence of α-Al₂O₃ nanoparticles in the magnesia matrix induced the magnesium-aluminate spinel formation (MgAl₂O₄), which improved the mechanical resistance most significantly at 1500 °C.