In this work we report a study of the magnetic behavior of ferrimagnetic oxide CoFe2O4 treated by mechanical milling with different grinding balls. The cobalt ferrite nanoparticles were prepared using a simple hydrothermal method and annealed at 500oC. The non-milled sample presented coercivity of about 1.9 kOe, saturation magnetization of 69.5 emu/g, and a remanence ratio of 0.42. After milling, two samples attained coercivity of 4.2 and 4.1 kOe, and saturation magnetization of 67.0 and 71.4 emu/g respectively. The remanence ratio MR/MS for these samples increase to 0.49 and 0.51, respectively. To investigate the influence of the microstructure on the magnetic behavior of these samples, we used X-ray powder diffraction (XPD), transmission electron microscopy (TEM), and vibrating sample magnetometry (VSM). The XPD analysis by the Williamson-Hall plot was used to estimate the average crystallite size and strain induced by mechanical milling in the samples.