Pd clusters (4-5 nm) epitaxially grown on clean surfaces of MgO microcubes were annealed at 450-degrees-C in pure O2 or H-2 at pressures of 10(-7) and 10(-1) Torr. The samples were investigated by high-resolution transmission electron microscopy in order to image both the profile view and the interface Pd/MgO. Particles annealed in oxygen at 10(-7) Torr develop a slightly rounded shape. Their lattice parameter is expanded by 2%, as in the case of the same clusters annealed in vacuum. Annealing under a higher pressure of oxygen induces a full rounded shape and produces PdO on the surface and edges of the Pd particles. Particles annealed in H-2 retain the shape of a half-octahedron truncated at the top by (100) faces and their lattice parameter is dilated by 3-4%.