We prepared Rh ion exchanged Y-type zeolite (RhY) and Li-doped RhY (Li/RhY) catalysts and studied the structure transformation of Rh intercalated species during CO adsorption and CO2 hydrogenation by EXAFS and TEM. We found that Rh particles in RhY initially supported inside the zeolite cage as 1.3 nm spherical or hemispherical particles. CO exposure of the Fresh RhY caused formation of atomically dispersed Rh species. After CO2 hydrogenation and following reduction, the Rh particles aggregated to form 3.3 nm particles on the outer surface. Meanwhile, Rh particles in Li/RhY were embedded in the zeolite cages, which were narrowed by Li deposition on the wall. The size of the Rh panicles was 0.8 nm in diameter. The Rh particles in Li/RhY were stable under reduction, CO adsorption, and CO2 hydrogenation conditions. We concluded Li additive changed the stability of Rh particles in the supercage by modifying surface hydroxyl group concentration.