A method of reducing the particle size of solid particles is applicable to the production of very fine particles of a wide variety of solids, including alumina hydrate, and comprises milling a liquid suspension of solid particles in an agitated media mill, pumping the milled suspension through a particle size classification device to separate the slurry into a coarse fraction and a fine fraction, the particles of the coarse fraction having a greater median particle size than the particles of the fine fraction, recycling the coarse fraction from the particle size classification device to the input of the mill, and recyling the fine fraction by pumping it to the classification device, wherein recycling of both coarse and fine fractions are continued until solid particles of the desired reduced particle size are produced. Preferably a single classification device and a single mill can be used, and particles having a median particle size of 0.3 microns or less and a relatively narrow particle size distribution can be produced, even using a hydrocyclone as the classification device.