Metal nanoparticles with precisely controlled size and composition are highly attractive for heterogeneous catalysis. However, their poor thermal stability remains a major hurdle on the way towards application at realistic technical conditions. Recent progress in this area has focused on nanostructured oxides to stabilize embedded metal nanoparticles. Here, we report an alternative approach that relies on synthesizing bimetallic nanoparticles with precise compositional control to obtain improved high-temperature stability. We find that PtRh nanoparticles with sufficiently high Rh content survive extended calcination at temperatures up to ∼ 850 ◦ C without significant sintering. For lower Rh content, sacrificial self-stabilization of individual nanoparticles through a distillation-like process is observed: the low-melting-point metal (Pt) bleeds out and the increasing concentration of the high-melting-point metal (Rh) leads to re-stabilization of the remaining nanoparticle. This principle of thermal self-stabilization should be broadly applicable to the development of multi-metallic nanomaterials for a broad range of high-temperature applications.