In this work, in situ transmission electron microscopy (TEM) technique has been applied to investigate the structural and phase evolutions of lead selenide (PbSe) nanocrystals loaded on reduced graphene oxide (rGO) nanosheets. An all-solid-state nano lithium battery composed of a single PbSe/rGO sheet cathode, Li2O electrolyte and Li anode has been fabricated to real time monitor the electrochemical lithiation/de-lithiation process of PbSe. It is found that few-layered rGO is a suitable support for PbSe during the in situ TEM observation due to its large surface area and good Li ion and electron conductivity. Based on the in situ characterization, a lithiation/de-lithiation mechanism of PbSe has been proposed. In situ characterization results are correlated with the electrochemical performance of PbSe/rGO. The role that rGO plays in modifying the electrochemical performance of PbSe has also been clarified by the in situ TEM characterization.