We previously reported that, during the reactions to make nanocrystals of HfO2 and Hf‐rich HfxZr1 – xO2, a tetragonal‐to‐monoclinic phase transformation occurs that is accompanied by a shape change of the particles (faceted spherical to nanorods) when the temperature at which the reaction is conducted is changed from 340 to 400 °C. We now conclude that this concomitant phase and shape change is a result of the martensitic transformation of isolated nanocrystals in a hot liquid, where twinning plays a crucial role in accommodating the shape‐change‐induced strain. That such change was not observed during the reactions forming ZrO2 and Zr‐rich HfxZr1 – xO2 nanocrystals is attributed to the higher driving force needed in those instances compared to that needed for producing HfO2 and Hf‐rich HfxZr1 – xO2 nanocrystals. We also report here the post‐synthesis, heat‐induced phase transformation of HfxZr1 – xO2 (0 < x < 1) nanocrystals. As temperature increases, all the tetragonal nanocrystals transform to the monoclinic phase accompanied by an increase in particle size (as evidenced by X‐ray diffraction and transmission electron microscopy), which confirms that there is a critical size for the phase transformation to occur. When the monoclinic nanorods are heated above a certain temperature the grains grow considerably; under certain conditions a small amount of tetragonal phase appears.