Hafnium diboride (HfB₂) is one of the most promising hard-brittle ceramic materials with unique physical properties. Here, we have synthesized the well-crystallized HfB₂ by a high-pressure solid-state reaction and employ in situ high-pressure synchrotron radiation angle-dispersive X-ray diffraction to investigate the size-effect of HfB₂. An abnormal physical behavior of HfB₂ under high pressure is observed. The microsized HfB₂ shows slight anisotropy along a and c axes; however, the nanosized HfB₂ reveals a different compression behavior with pressure-induced shell structural transition from a disordered symmetric amorphous shell state to an asymmetric amorphous shell state. In addition, the results indicate that the pressure calibrations are sensitive to the grain size. The present findings offer insights into the physical behaviors of different sized HfB₂, which may also provide valuable information for other transition metal borides under high pressure.