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In this paper, we synthesized the CdSe quantum dots (QDs) about 4.5 nm, and using the in-situ XAFS technique to study the thermal expansion of CdSe QDs from room temperature to 700°C. We find that the thermal expansion of the CdSe QDs is about 2.0×10-5/K, which is bigger than the bulk CdSe (3~8×10-6/K). This can demonstrate that the thermal properties of CdSe QDs is related to the size of the dots, which means the thermal expansion is reducing as the size of the nanoparticles increasing. Keywords: CdSe quantum dots, thermal expansion, EXAFS technique