Synthetic procedure along with the annealing effects on the optical and structural properties of CdSe nanodots has been analyzed at the temperature of 350 oC. It was observed that annealing induced structural transition in nanocrystalline CdSe from cubic zinc blende to hexagonal wurtzite structure. The transition takes place at temperatures higher than those of CdSe bulk crystals (95 oC), underlying that the CdSe structure is determined not only by the temperature but also by the crystal size. The role of free surface energy in low-dimensional CdSe systems is elucidated. The thermal effect results in the increase of particle size from 4 nm to 5 nm in synthesized and annealed CdSe respectively.