The characteristics of the nucleation mode particles of a Euro IV heavy-duty diesel vehicle exhaust were studied. The NOx and PM emissions of the vehicle were controlled through the use of cooled EGR and high-pressure fuel injection techniques; no exhaust gas after-treatment was used. Particle measurements were performed in vehicle laboratory and on road. Nucleation mode dominated the particle number size distribution in all the tested driving conditions. According to the on-road measurements, the nucleation mode was already formed after 0.7 s residence time in the atmosphere and no significant changes were observed for longer residence times. The nucleation mode was insensitive to the fuel sulfur content, dilution air temperature, and relative humidity. An increase in the dilution ratio decreased the size of the nucleation mode particles. This behavior was observed to be linked to the total hydrocarbon concentration in the diluted sample. In volatility measurements, the nucleation mode particles were observed to have a nonvolatile core with volatile species condensed on it. The results indicate that the nucleation mode particles have a nonvolatile core formed before the dilution process. The core particles have grown because of the condensation of semivolatile material, mainly hydrocarbons, during the dilution.