In this work we consider black hole solutions to Einstein's theory coupled to a nonlinear power-law electromagnetic field with a fixed exponent value. We study the extended phase space thermodynamics in canonical and grand canonical ensembles, where the varying cosmological constant plays the role of an effective thermodynamic pressure. We examine thermodynamical phase transitions in such black holes and find that both first- and second-order phase transitions can occur in the canonical ensemble while, for the grand canonical ensemble, Hawking-Page and second-order phase transitions are allowed.