The formation mechanism of nanoparticles is of great significance for the controllable synthesis, structural design, and performance optimization of nanomaterials. In this paper, an economical hydrothermal method was used to synthesize zinc oxide (ZnO) nanorods. X-ray diffraction, X-ray absorption fine structure, and small-angle X-ray scattering techniques were used to probe the structural changes. Scanning electron microscopy and high-resolution transmission electron microscopy were used to observe the morphologies of the products. A self-designed in situ temperature-pressure sample cell was used to control the hydrothermal conditions. The results demonstrate that an unknown intermediate phase, Zn(HCO3)2·H2O, was first formed at 50 °C, having a morphology of nanoflakes with a average thickness of about 35 nm. The intermediate phase Zn(HCO3)2·H2O was determined to have a monoclinic structure with space group P1211 and the following lattice parameters: a = 11.567 Å, b = 3.410 Å, c = 5.358 Å, β = 96.0011°, and Z = 2. After a hydrothermal temperature of 140 °C, CO2 and H2O were evaporated from the Zn(HCO3)2·H2O intermediate product and the ZnO nanorods with a wurtzite structure were formed. The final ZnO nanorods have an average diameter of about 45 nm and an average length of about 2 μm. The axial direction of the ZnO nanorods is the [001] crystallographic direction. By virtue of understanding the formation mechanism, this work is helpful for the controllable synthesis of ZnO nanoparticles.