Single-molecule fluorescence imaging experiments generally require sub-nanomolar protein concentrations to isolate single protein molecules, which makes such experiments challenging in live cells due to high intracellular protein concentrations. Here, we show that single-molecule observations can be achieved in live cells through a drastic reduction in the observation volume using overmilled zero-mode waveguides (ZMWs- subwavelength-size holes in a metal film). Overmilling of the ZMW in a palladium film creates a nanowell of tunable size in the glass layer below the aperture, which cells can penetrate. We present a thorough theoretical and experimental characterization of the optical properties of these nanowells over a wide range of ZMW diameters and overmilling depths, showing an excellent signal confinement and a 5-fold fluorescence enhancement of fluorescent molecules inside nanowells. ZMW nanowells facilitate live-cell imaging as cells form stable protrusions into the nanowells. Importantly, the nanowells greatly reduce the cytoplasmic background fluorescence, enabling the detection of individual membrane-bound fluorophores in the presence of high cytoplasmic expression levels, which could not be achieved with TIRF microscopy. Zero-mode waveguide nanowells thus provide great potential to study individual proteins in living cells.