In this review, I examine the influence of nanoscale materials features on the hydrogen-metal interaction. The small system size, the abundance of surfaces/interfaces, and the spatial distribution of phases are the key factors to understand the hydrogen sorption properties of nanomaterials. In order to describe nanoscale-specific thermodynamic changes, I present a composition and atomic quantitative model applicable to every hydride-forming material, independently on its structure. The effects of surface free energy, interface free energy, and elastic constraint, are included in a general expression for the thermodynamical bias. In the frame of this model, I critically survey theoretical and experimental results hinting at possible changes of thermodynamic parameters, and in particular, enthalpy and entropy of hydride formation, in nanostructured Mg-based metallic compounds as compared to their coarse-grained bulk counterparts. I discuss the still open controversies, such as destabilization of ultra-small clusters and enthalpy-entropy compensation. I also highlight the frequently missed points in experiments and data interpretation, such as the importance of recording full hydrogen absorption and desorption isotherms and of measuring the hysteresis. Finally, I try to address the open questions that may inspire future research, with the ambition of tailoring the properties of hydride nanomaterials through a deeper understanding of their thermodynamics.