Uncovering the evolutional pathways of melting and crystallization atomically is critical to understanding complex microscopic mechanism of first-order phase transformation. We conduct in situ atomic-scale observations of melting and crystallization in supported Bi nanoparticles under heating and cooling within an aberration-corrected TEM. We provide direct evidence of the multiple intermediate state events in melting and crystallization. The melting of the supported nanocrystal involves the formation and migration of domain boundaries and dislocations due to the atomic rearrangement under heating, which occurs through a size-dependent multiple intermediate state. A critical size, which is key to inducing the transition pathway in melting from two to four barriers, is identified for the nanocrystal. In contrast, crystallization of a Bi droplet involves three stages. These findings demonstrate that the phase transformations cannot be viewed as a simple single barrier-crossing event but as a complex multiple intermediate state phenomenon, highlighting the importance of nonlocal behaviors.