Physicochemical properties of nanoparticles may depend on their size and shape and are traditionally assessed in ensemble-level experiments, which accordingly may be plagued by averaging effects. These effects can be eliminated in single-nanoparticle experiments. Using plasmonic nanospectroscopy, we present a comprehensive study of hydride formation thermodynamics in individual Pd nanocrystals of different size and shape, and find corresponding enthalpies and entropies to be nearly size- and shape-independent. The hysteresis observed is significantly wider than in bulk, with details depending on the specifics of individual nanoparticles. Generally, the absorption branch of the hysteresis loop is size-dependent in the sub-30 nm regime, whereas desorption is size- and shape-independent. The former is consistent with a coherent phase transition during hydride formation, influenced kinetically by the specifics of nucleation, whereas the latter implies that hydride decomposition either occurs incoherently or via different kinetic pathways.