Nanostructured materials doped with Cr+3 have potential applications. However, it has been reported that heat treatment can modify the oxidation state of Cr+3, resulting in the formation of toxic Cr+6 in host matrices such as TiO2, Al2O3, SiO2, ZrO2, and Fe(OH)3. The possibility of this occurrence in nanostructured ZnAl2O4:Cr+3 has not been previously considered. In this study, we report the effect of annealing temperatures within the range of 600–1300 °C on the structure, morphology, optical properties, and, more specifically, the chromium oxidation state of ZnAl1.94Cr0.06O4 nanoparticles obtained through the coprecipitation method. The obtention of single-phase systems with a crystal size ranging from 5.25 nm to 142.75 nm was determined by X-ray diffraction and Rietveld refinement. At 800 °C, a more significant oxidation of Cr+3 was observed, evident in the increased absorption intensity of UV–vis bands associated with Cr+6 and a reduction in magnetic susceptibility at ambient temperature. At 1200 °C, a complete reduction of Cr+6 occurred, leading to the appearance of bands related to Cr+3 in the UV–vis absorption spectra and increased magnetic susceptibility; the results were confirmed by X-ray photoelectron spectroscopy. The outcomes of this study offer new insights into the thermal stability of chromium in ZnAl2O4 nanoparticles.