The dependence of the intensity (Ii) of X-ray fluorescence on the size (D) of finely ground particles was studied for saturated and unsaturated samples. It was found that even at the wet grinding (addition of ethanol) of powders with D < 10 μm, the aggregation and covering of larger grains (α) with smaller grains of different compositions occur, which changes the character of the dependence Ii = f(D), particularly, if fluorescence is emitted by the grains α. The nature of the observed effects is proved by the results of granulometric analysis and by electron probe X-ray analysis. In the transition from saturated to unsaturated samples, the discussed effects are enhanced.