An experimental study was conducted to improve the electrical insulation of epoxy resin. The effects of boehmite, γ-alumina and α-alumina nanoparticles on the volume resistivity, dielectric strength and glass transition temperature of epoxy nanocomposites were investigated. The results showed that α-alumina nanoparticles displayed obvious advantages in enhancing electrical insulation performance of epoxy nanocomposites, compared to boehmite and γ-alumina nanoparticles. The direct current volume resistivity and breakdown strength of epoxy nanocomposite with 2.0 wt% α-alumina nanoparticles was improved to 2.2 × 1018 Ω cm and 76.1 kV mm−1 respectively. And these improved values of electrical insulation properties are much higher than these of epoxy nanocomposites reported in previous studies. The main reason of these improvements may be that the epoxy/α-alumina interaction zone was enhanced by crosslink.