We report the structural, transport, electronic, and magnetic properties of Co$_2$FeGa Heusler alloy nanoparticles. The Rietveld refinements of x-ray diffraction (XRD) data with the space group Fm$bar {3}$m clearly demonstrates that the nanoparticles are of single phase. The particle size (D) decreases with increasing the SiO$_2$ concentration. The Bragg peak positions and the inter-planer spacing extracted from high-resolution transmission electron microscopy image and selected area electron diffraction are in well agreement with data obtained from XRD. The coercivity initially increases from 127~Oe to 208~Oe between D = 8.5~nm and 12.5~nm, following the D$^{-3/2}$ dependence and then decreases with further increasing D up to 21.5~nm with a D$^{-1}$ dependence, indicating the transition from single domain to multidomain regime. The effective magnetic anisotropic constant behaves similarly as coercivity, which confirms this transition. A complex scattering mechanisms have been fitted to explain the electronic transport properties of these nanoparticles. In addition we have studied core-level and valence band spectra using photoemission spectroscopy, which confirm the hybridization between $d$ states of Co/Fe. Further nanoparticle samples synthesized by co-precipitation method show higher saturation magnetization. The presence of Raman active modes can be associated with the high chemical ordering, which motivates for detailed temperature dependent structural investigation using synchrotron radiation and neutron sources.
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