Semiconductor nanoparticles have a range of potential applications in electronic, optoelectronic and spintronic devices. Zinc oxide (ZnO), a wide-bandgap semiconductor, has emerged as an important material for such applications. In this work, impurities in ZnO nanoparticles were investigated with infrared (IR) spectroscopy, and the results show the presence of CO2 impurities in ZnO nanoparticles. Isotopic substitution was used to verify the frequency assignment and the results demonstrate conclusively that the impurities originate from the precursors. Isochronal annealing experiments were performed to study the formation and stability of the CO2 molecules. In addition to unintentional CO2 impurities, we intentionally introduced hydrogen into ZnO nanoparticles. Our results show that post-growth annealing in hydrogen dramatically changes IR transmission, reflection and electrical properties of the nanoparticles.