A new Ni + Zr co-alloyed FeCrAl-ODS (oxide-dispersion-strengthened) ferritic alloy was fabricated by ball-milling and hot-isostatic-pressing. Using electron microscopy and atom probe tomography, the dispersive formation of high density core-shelled nano-particles of various sizes was confirmed with a common B2-NiAl shell. Among which, median-sized nano-particles (20–50 nm) typically have an Y4Al2O9 nano-core of < ~ 20 nm, ultra-fine nano-particles (< ~ 20) nm have an Y4Zr3O12 nano-core of < ~ 10 nm, and larger-sized nano-particles (50–100 nm) incorporate an ultra-fine Y4Al2O9 nano-core and a few ultra-fine Y4Zr3O12 nano-oxides. All these nano-phases were highly coherent with the ferritic matrix. No large Y–Al–O nano-oxides were formed. The total number density of ultra-fine nano-particles was estimated as ~ 2 × 1023 m−3 with a mean size of 6.3 nm only, and accordingly, the new alloy achieved an excellent combination of strength and ductility at high temperatures.