Many energy- and information-storage processes rely on phase changes of nanomaterials in reactive environments. Compared to their bulk counterparts, nanostructured materials seem to exhibit faster charging and discharging kinetics, extended life cycles, and size-tunable thermodynamics. However, in ensemble studies of these materials, it is often difficult to discriminate between intrinsic size-dependent properties and effects due to sample size and shape dispersity. Here, we detect the phase transitions of individual palladium nanocrystals during hydrogen absorption and desorption, using in situ electron energy-loss spectroscopy in an environmental transmission electron microscope. In contrast to ensemble measurements, we find that palladium nanocrystals undergo sharp transitions between the α and β phases, and that surface effects dictate the size dependence of the hydrogen absorption pressures. Our results provide a general framework for monitoring phase transitions in individual nanocrystals in a reactive environment and highlight the importance of single-particle approaches for the characterization of nanostructured materials.