We introduce the spectroscopic investigation of the nano-composite materials consisted of Mg and Pd. Mg is most promising material for the application of the hydrogen storage because of the high gravimetric hydrogen storage capacity up to 7.6 mass%. In spite of the advantage of the hydrogen storage capacity, the practical use of Mg has not been established due to the slow hydro-/dehydrogenation reactions and the high temperature required to store and release the hydrogen. Nano-sized Mg such as Mg nanoparticle is expected to store the hydrogen rapidly because of the high specific surface area of the nanoparticle. Moreover, addition of Pd decreases the temperature for the hydrogen storage of Mg because of the catalytic effect for the dissociation reaction of hydrogen molecules. We have fabricated the nanoparticles composed of the both Mg and Pd by the gas evaporation method using He gas. These nanoparticles can store the hydrogen at the room temperature. After the storage of the hydrogen, the release of the hydrogen has not been observed up to 100℃. The analyses of the X-ray absorption fine structure (XAFS) have revealed that the irreversible change of the chemical state during the hydrogen storage causes the inactivation of the surface of nanoparticles and inhibits the dehydrogenation reaction of the MgH₂.