Tremendous progress in nanotechnology has enabled advances in the use of luminescent nanomaterials in imaging, sensing and photonic devices. This translational process relies on controlling the photophysical properties of the building block, that is, single luminescent nanoparticles. In this Review, we highlight the importance of single-particle spectroscopy in revealing the diverse optical properties and functionalities of nanomaterials, and compare it with ensemble fluorescence spectroscopy. The information provided by this technique has guided materials science in tailoring the synthesis of nanomaterials to achieve optical uniformity and to develop novel applications. We discuss the opportunities and challenges that arise from pushing the resolution limit, integrating measurement and manipulation modalities, and establishing the relationship between the structure and functionality of single nanoparticles.