The reasoning capabilities of large language models (LLMs), such as OpenAI's o1 and DeepSeek-R1, have seen substantial advancements through deep thinking. However, these enhancements come with significant resource demands, underscoring the need to explore strategies to train effective reasoning LLMs with far fewer parameters. A critical challenge is that smaller models have different capacities and cognitive trajectories than their larger counterparts. Hence, direct distillation of chain-of-thought (CoT) results from large LLMs to smaller ones can be sometimes ineffective and requires a huge amount of annotated data. In this paper, we introduce a novel framework called Critique-Rethink-Verify (CRV), designed for training smaller yet powerful reasoning LLMs. Our CRV framework consists of multiple LLM agents, each specializing in unique abilities: (i) critiquing the CoTs according to the cognitive capabilities of smaller models, (ii) rethinking and refining these CoTs based on the critiques, and (iii) verifying the correctness of the refined results. We further propose the cognitive preference optimization (CogPO) algorithm to enhance the reasoning abilities of smaller models by aligning thoughts of these models with their cognitive capacities. Comprehensive evaluations on challenging reasoning benchmarks demonstrate the efficacy of CRV and CogPO, which outperforms other training methods by a large margin.