The annealing-induced formation of (Mn, Ga)As nanocrystals in (Ga, Mn)As/GaAs superlattices was studied by x-ray diffraction, transmission electron microscopy and magnetometry. The superlattice structures with 50 Å thick (Ga, Mn)As layers separated by 25, 50 and 100 Å thick GaAs spacers were grown by molecular beam epitaxy at low temperature (250 °C), and then annealed at high temperatures of 400, 560 and 630 °C. The high-temperature annealing causes decomposition to a (Ga, Mn)As ternary alloy and the formation of (Mn, Ga)As nanocrystals inside the GaAs matrix. The nanocrystals are confined in the planes that were formerly occupied by (Ga, Mn)As layers for the up to 560 °C annealing and diffuse throughout the GaAs spacer layers at 630 °C annealing. The two-dimensionally confined nanocrystals exhibit a superparamagnetic behavior which becomes high-temperature ferromagnetism (~350 K) upon diffusion.