Thermal motion of colloidal nanoparticles and their cohesive interactions are of fundamental importance in nanoscience but are difficult to access quantitatively, primarily due to the lack of the appropriate analytical tools to investigate the dynamics of individual particles at nanoscales. Here, we directly monitor the stochastic thermal motion and coalescence dynamics of gold nanoparticles smaller than 5 nm, using graphene liquid cell (GLC) transmission electron microscopy (TEM). We also present a novel model of nanoparticle dynamics, providing a unified, quantitative explanation of our experimental observations. The nanoparticles in a GLC exhibit non-Gaussian, diffusive motion, signifying dynamic fluctuation of the diffusion coefficient due to the dynamically heterogeneous environment surrounding nanoparticles, including organic ligands on the nanoparticle surface. Our study shows that the dynamics of nanoparticle coalescence is controlled by two elementary processes: diffusion-limited encounter complex formation and the subsequent coalescence of the encounter complex through rotational motion, where surface-passivating ligands play a critical role.