Pyrochlore Y₂Ti₂O₇ is a primary precipitate phase in nano-structured ferritic alloys (NFAs) for fission and fusion energy applications. We report a theoretical study for assessing the relative stability of trapping helium in Y₂Ti₂O₇ versus in matrix iron. Various defect structures and the associated energies are examined and compared. Results reveal that helium can be deeply trapped in Y₂Ti₂O₇ and that the corresponding self-interaction is essentially repulsive. Transmutant helium in NFAs prefers to occupy individual octa-interstitial sites in Y₂Ti₂O₇, before forming small clusters in Y₂Ti₂O₇. Helium partitioning in NFAs depends on the number and dispersion of Y₂Ti₂O₇; and thus initially, bubble formation and growth in iron matrix can be largely suppressed. Charge transfer occurs from helium to neighboring oxygen anions, but not to neighboring metal cations, suggesting a general effectiveness of trapping helium in oxides. Reasons for the ultimate fate of helium to form small nm-scale interface bubbles are also discussed.