The thermal stability of micellar Pt nanoparticles (NPs) supported on nanocrystalline γ-Al2O3 was monitored in situ under different chemical environments (H2, O2, H2O) via extended x-ray absorption fine-structure spectroscopy (EXAFS) and ex situ via scanning transmission electron microscopy (STEM). Drastic differences in the stability of identically synthesized NP samples were observed upon exposure to two different pre-treatments. In particular, exposure to O2 at 400ºC before high temperature annealing in H2 (800ºC) was found to result in the stabilization of the micellar Pt NPs, reaching a maximum overall size after coarsening of ~1 nm. Interestingly, when an analogous sample was pre-treated in H2 at ~400ºC, a final size of ~5 nm was reached at 800ºC. The beneficial role of oxygen for the stabilization of small Pt NPs was also observed in situ during annealing treatments in O2 at 450°C for several hours. In particular, while NPs of 0.5 ± 0.1 nm initial average size did not display any significant sintering (0.6 ± 0.2 nm final size), an analogous thermal treatment in hydrogen lead to NP coarsening (1.2 ± 0.3 nm). The same sample pre-dosed and annealed in an atmosphere containing water only displayed moderate sintering (0.8 ± 0.3 nm). Our data suggest that PtOx species, possibly modifying the NP/support interface, play a role in the stabilization of small Pt NPs. Our study reveals the enhanced thermal stability of micellar Pt NPs and the importance of the sample pre-treatment and annealing environment in the minimization of undesired sintering processes affecting the performance of nanosized catalysts.