A composite fine powder material is made of first particles with average particle diameter less than or equal to about ten microns, each having a composite structure and being made up of a plurality of fine second particles of a ceramic made by reacting together a first metal and a gas, embedded in a matrix of a second metal. This composite fine powder material is made by vaporizing the first metal, mixing the vapor with the gas, expanding the mixture through a first nozzle mechanism for providing adiabatic expansion cooling under reaction between the first metal and the gas to provide the fine second particles of ceramic, producing vapor of the second metal and mixing it in with the fine second particles at the downstream of the first nozzle mechanism, directing the resulting mixture through a second expansion nozzle mechanism to form the first particles of composite structure, and then collecting these first particles.