The pure BiFeO3 (BFO) and (Nd, Zn)-co-doped BFO nanoparticles were prepared by a sol-gel method. The crystal structure and optical and multiferroic properties of the samples were systematically investigated. Rietveld refinement showed that the samples crystallized in rhombohedral R3c structure. In UV-visible diffuse absorption spectra, an apparent blue shift can be observed after co-doping, which indicates a possible application in photocatalyst and photoconductive devices. Compared with a pure BFO sample, the leakage current density of the x = 0.05 sample decreases about 3 orders of magnitude. The remanent magnetization (Mr) of the x = 0.10 sample reaches 0.105 emu/g while the coercive field (Hc) is as high as 7.0 kOe. The (Nd, Zn) co-doping into BFO nanoparticles has been proved to be an effective way to improve the optical and multiferroic properties.