Confinement of hot electrons in metal nanoparticles (NPs) is expected to lead to increased reactivity in heterogeneous catalysis. NP size as well as support may influence molecule-NP coupling. Here, we use ultrafast nonlinear vibrational spectroscopy to follow energy transfer from hot electrons generated in Pd NP/MgO/Ag(100) to chemisorbed CO. Photoexcitation and photodesorption occur on an ultrashort time scale and are selective according to adsorption site. When the MgO layer is thick enough, it becomes NP size-dependent. Hot electron confinement within NPs is unfavorable for photodesorption, presumably because its dominant effect is to increase relaxation to phonons. An avenue of research is open where NP size and support thickness, photon energy, and molecular electronic structure will be tuned to obtain either molecular stability or reactivity in response to photon excitation.