Imaging at the single-molecule level reveals heterogeneities that are lost in ensemble imaging experiments, but an ongoing challenge is the development of luminescent probes with the photostability, brightness and continuous emission necessary for single-molecule microscopy. Lanthanide-doped upconverting nanoparticles overcome problems of photostability and continuous emission and their upconverted emission can be excited with near-infrared light at powers orders of magnitude lower than those required for conventional multiphoton probes. However, the brightness of upconverting nanoparticles has been limited by open questions about energy transfer and relaxation within individual nanocrystals and unavoidable tradeoffs between brightness and size. Here, we develop upconverting nanoparticles under 10 nm in diameter that are over an order of magnitude brighter under single-particle imaging conditions than existing compositions, allowing us to visualize single upconverting nanoparticles as small (d = 4.8 nm) as fluorescent proteins. We use advanced single-particle characterization and theoretical modelling to find that surface effects become critical at diameters under 20 nm and that the fluences used in single-molecule imaging change the dominant determinants of nanocrystal brightness. These results demonstrate that factors known to increase brightness in bulk experiments lose importance at higher excitation powers and that, paradoxically, the brightest probes under single-molecule excitation are barely luminescent at the ensemble level.