The size-dependent structure of CdSe nanoparticles, with diameters ranging from 2 to 4 nm, has been studied using the atomic pair distribution function (PDF) method. The core structure of the measured CdSe nanoparticles can be described in terms of the wurtzite atomic structure with extensive stacking faults. The density of faults in the nanoparticles ~50% . The diameter of the core region was extracted directly from the PDF data and is in good agreement with the diameter obtained from standard characterization methods suggesting that there is little surface amorphous region. A compressive strain was measured in the Cd-Se bond length that increases with decreasing particle size being 0.5% with respect to bulk CdSe for the 2 nm diameter particles. This study demonstrates the size-dependent quantitative structural information that can be obtained even from very small nanoparticles using the PDF approach.