The use of ultrafast processes to synthesize alloy nanoparticles far from thermodynamic equilibrium is subject to phase transformations that keep particles at a given temperature for periods of time that are usually long with respect to the process pulse durations. Reaching non-equilibrium conditions is then not straightforwardly associated with this process, as fast as it can be, but rather with heat transfer mechanisms during phase transformations. This latter aspect is dependent on nanoparticle size. Furthermore, other important phenomena such as chemical ordering are essential to explain the final structure adopted by an alloy nanoparticle. In this work, specific attention is paid to suspensions submitted to either electrical discharges or to ultrashort laser excitations. After discussing the thermodynamic considerations that give the frame beyond which non-equilibrium alloys form, a description of the heating processes at stake is provided. This leads to the maximum temperature reached for particles with nanometric sizes and specific conditions to fulfil practically during the quenching step. The way that solidification must be processed for this purpose is discussed next. The example of the Cu–Ag system is finally considered to illustrate the advantage of better controlling processes that are currently used to create homogeneously alloyed nanoparticles made of immiscible elements, but also to show the actual limitations of these approaches.