We observe, as a function of temperature, a second order magnetic phase transition in nanometric Cr2O3 clusters that are epitaxially embedded in an insulating MgO matrix. They are investigated through their tunnel magneto-resistance signature, the MgO layer being used as a tunnel barrier. We infer the small magnetic dipoles carried by the Cr2O3 clusters and provide evidence of a magnetic phase transition at low temperature in those clusters: they evolve from an anti ferromagnetic state, with zero net moment close to 0 K, to a weak ferromagnetic state that saturates above about 10 K. The influence of magneto-electric effects on the weak ferromagnetic phase is also striking: the second order transition temperature turns out to be linearly dependent on the applied electric field.