Europium doped β-PbF₂ nano-particles with different doping concentration are prepared to investigate the site structure of Eu³⁺ dopants. It is concluded that the site symmetry of Eu³⁺ dopants in β-PbF₂ nano-particles lowers from O(h)to D(4h) with the increase of doping concentration. By X-ray diffraction analysis and photoluminescence spectroscopy study, a doping concentration induced phase transition from lowly doped cubic Pb₃EuF₉ to highly doped tetragonal PbEuF₅ is detected. The intermediate phase of moderately doped nano-particles, which contains both phases mentioned above, is observed for the first time. Moreover, the temperature-dependent intermediate phase analysis suggests that the tetragonal phase is more stable than the cubic phase, which is also confirmed by the first-principle calculations. Our results suggest that the doping concentration induced phase transition in β-PbF₂ nano-particles can be used for understanding other Lanthanide-doped nano-particle systems.