Cd-rich CdSe nanocrystals below a critical size, under illumination, catalyze CO2 fixation, but bulk CdSe surfaces do not. We report first-principles calculations in which we determine the roles of faceting, deviations from stoichiometry, photoexcitation, and electron confinement, and the specific physics of the nanoscale. We further establish that catalysis does not occur at the nanocrystal surface; instead, neutral molecules adsorb, desorb negatively charged, and react elsewhere. Finally, we predict that n-type doped CdSe nanocrystals would be effective catalysts without photoexcitation.