NaYF4 systems have been widely studied as up-conversion host matrices, and their phase transitions are flexible and worth investigating in great detail. Herein, the evolution of morphology and crystal structure of a Eu3+-doped β-NaYF4 single nanoparticle heated in an air atmosphere was investigated using in situ transmission electron microscopy (TEM). The annealing process revealed that the hexagonal β-NaYF4 phase undergoes sequential transformations into high-temperature cubic phases at both 350 °C and 500 °C. The emission characteristics of Eu3+ in the single nanoparticle after heating treatment were also analyzed using Correlative Cathodoluminescence Electron Microscopy (CCLEM). The results of CCLEM suggest a gradual decrease followed by a subsequent increase in structural symmetry. A comprehensive spectroscopic and structural analysis encapsulates the entire transformation process as NaYF4 → YOF → Y2O3. In situ energy dispersive spectroscopy analyses (EDS) support this reaction process. The aforementioned technique yields correlative lattice-resolved TEM images and nanoscale spectroscopic information, which can be employed to assess the structure-function relationships on the nanoscale.