The microscopic insight into how and why catalytically active nanoparticles change their shape during oxidation and reduction reactions is a pivotal challenge in the fundamental understanding of heterogeneous catalysis. We report an oxygen-induced shape transformation of rhodium nanoparticles on magnesium oxide (001) substrates that is lifted upon carbon monoxide exposure at 600 kelvin. A Wulff analysis of high-resolution in situ x-ray diffraction, combined with transmission electron microscopy, shows that this phenomenon is driven by the formation of a oxygen-rhodium-oxygen surface oxide at the rhodium nanofacets. This experimental access into the behavior of such nanoparticles during a catalytic cycle is useful for the development of improved heterogeneous catalysts.