Cobalt–iron cyanide (Cox[Fe(CN)6]) nanoparticles have been synthesized by a novel solid–solid reaction in the confined space of dry sodium bis(2-ethylhexyl)sulfosuccinate (AOT) reversed micelles dispersed in n-heptane. The reaction has been carried out by mixing two dry AOT/n-heptane solutions containing CoCl2 and K4Fe(CN)6 or K3Fe(CN)6 nanoparticles in the micellar core, respectively. By UV-Vis spectroscopy it was ascertained that, after the mixing process, the formation of stable nanoparticles is fast and complete. Microcalorimetric measurements of the thermal effect due to the Cox[Fe(CN)6] nanoparticle formation allowed the determination of the stoichiometric ratio (x) and of the molar enthalpy of reaction in the core of AOT reversed micelles. The observed behavior suggests the occurrence of confinement effects and surfactant adsorption on the nanoparticle surface. Further structural information was achieved by small-angle X-ray scattering (SAXS) measurements. From all liquid samples, interesting salt/AOT composites were prepared by simple evaporation of the apolar solvent. Size, crystal structure, and electronic properties of Cox[Fe(CN)6] nanoparticles containing composites were obtained by wide-angle X-ray scattering (WAXS) and X-ray photoelectron spectroscopy (XPS).