Nowadays, cerium dioxide represents one of the interesting oxides for storing and releasing oxygen in catalytic applications. Indeed, its ability to form, fill and transport oxygen vacancies makes this material appealing also for energy applications, like fuel cells, and for biomedicine. For these reasons, exploring CeO2 nanostructures behaviour is very important in order to optimize the functionality of the material for its application. We focused on cerium oxide confined into nanoparticles and characterized the structural and chemical modifications during a thermal treatment in high vacuum using a bulk spectroscopy, x-ray absorption spectroscopy (XAS), and a surface sensitive spectroscopy, x-ray photoemission spectroscopy (XPS). Size selected nanoparticles are prepared under controlled conditions with a magnetron sputtering gas aggregation source and analyzed in morphology and crystalline quality by high resolution transmission electron microscopy. XPS and XAS show that nanoparticles with diameter from 9 nm to 4 nm are well oxidized before the thermal treatment. The comparison with the systematically higher values of Ce3+ concentration detected by XPS, indicates that the Ce3+ species are mainly localized at the surface. From the structural point of view, we demonstrate a progressive contraction in the Ce-O interatomic distance with decreasing nanoparticle diameter and we relate the observed effect to the reduced dimensionality. Contrariwise, the thermal treatment induces on every sample a slight reduction of the Ce average oxidation state and a negligible expansion of the lattice parameter.