We study the pressure-driven phase transition from the four-coordinate wurtzite to the six-coordinate rocksalt structure in CdSe nanocrystals with molecular dynamics computer simulations. With an ideal gas as the pressure medium, we apply hydrostatic pressure to spherical and faceted nanocrystals ranging in diameter from 25 to 62 A. In spherical crystals, the main mechanism of the transformation involves the sliding of (100) planes, but depending on the specific surface structure we also observe a second mechanism proceeding through the flattening of (100) planes. In faceted crystals, the transition proceeds via a five-coordinated hexagonal structure, which is stabilized at intermediate pressures due to dominant surface energetics.