As a type of novel electrocatalytic materials, delafossite CuAlO₂ nanoparticles (NPs) with an average particle size of ~ 20 nm were synthesized by a facile ultrasonic synthesis followed with annealing at 850°C in N₂ for the first time. Their phase purity, size and morphology were investigated by powder X-ray diffraction, Raman spectroscopy and electron microscopic studies. Their electrochemical performance studies demonstrated promising catalytic activity in the electrolysis of water to the hydrogen evolution reactions (HER) and oxygen evolution reactions (OER) compared to bulk CuAlO₂. More specifically, these CuAlO₂ nanoparticles showed 12 times higher current density to the OER than the bulk counterpart. Hence, being a low-cost semiconducting material, these delafossite CuAlO₂ nanoparticles with the size of ~ 20 nm could be useful to further study their other applications like solar cells, photochemical water splitting, proton exchange membrane water electrolysis etc.