Tb³⁺ and Eu³⁺ co-doped Y₂O₃ nanoparticles with a volume-weighted average size of about 30 nm were synthesized via simple Pechini-type sol–gel process. The growth of monocrystalline nanoparticles is investigated via XRD and TEM analysis. The study of energy transfer between Tb³⁺ and Eu³⁺ ions was carried out by means of PL, PLE, and photoluminescence decay analyses. The energy transfer from Tb³⁺ to Eu³⁺ is efficient and we show how a resonant type via a dipole–dipole interaction is the most probable mechanism. We compared the energy-transfer efficiencies calculated from the intensities and from the lifetimes of transition of Tb, showing the presence of two populations of Tb, with different local surroundings, in the matrix. Furthermore, the critical distance between Tb³⁺ and Eu³⁺ ions has been calculated by means of different theories, from a new probabilistic approach based on the discretization of the theory of Chandrasekhar about the distribution of the nearest neighbors in a random distribution of particles, and from the PL data, suggesting a value of about 7 Å.