Crystalline nucleation is investigated during the dynamical heat treatment of a ZrO2-MgO-Al2O3-SiO2 glass by high-temperature Zr K-edge X-ray absorption near-edge spectroscopy. In the parent glass, the Zr coordination number is higher than in most glasses, explaining the structural instability of Zr during thermal treatment. The Zr local structure is modified at 30 degrees C above the nucleation onset. Crystalline nucleation is characterized by the formation of peculiar nano-ZrO2 particles, which are stable until completion of the thermal treatment. These nano-ZrO2 particles are stable during the elaboration of glass-ceramics, without any Zr4+ remaining in the glassy matrix of the final material.