Phase transformations of annealed bulk 0.955Pb (Zn1/3 Nb2/3) O3 -0.045 PbTiO3 (PZN-4.5%PT) single crystals have been examined by means of dielectric permittivity, thermal current, domain structure, and high-resolution synchrotron x-ray diffraction as a function of temperature. The result shows that annealed (unpoled) bulk PZN-4.5%PT single crystal undergoes an R-T-C transformation sequence upon zero-field heating, where R, T, and C are the rhombohedral, tetragonal, and cubic phases, respectively. Diffractions pertaining to rhombohedral and tetragonal nanotwins are detected. These diffractions can easily be mistaken as the monoclinic diffractions, which, however, are not supported by our thermal current measurement. The nanotwin structure plays an important role in bridging the R-T and T-C transformations, possibly by alleviating the accompanying transformation stresses.