In this paper, the preparation of calcium oxide (CaO) nanoparticles (NPs) is reported by a precipitation method, using CaCl₂ and NaOH as starting raw materials. The produced NPs were characterized for chemical composition, phase composition, particle size distribution, morphological features, specific surface area, and crystallite sizes. It is shown that calcination of Ca(OH)₂ in vacuum takes place faster/at a lower temperature compared to the calcination in air due to the higher entropy of the gaseous product of calcination. It is also shown that when these CaO nanoparticles are kept at room temperature in air, they fully and spontaneously transform into CaCO₃ within 3 weeks. Therefore, if this material is disposed in open fields (not necessarily in industrial conditions), it is able to capture carbon dioxide from normal air slowly, but surely. However, when the CaO nanoparticles are kept in the air at 100–200 °C, they mostly capture water vapor from the air instead of carbon dioxide, and the resulting calcium hydroxide blocks the carbon dioxide capture by CaO nanoparticles.