Nanobubbles are sub‐ micron‐sized gas entities that find applications in a wide range of scientific fields. Typically, they are thought to diffuse according to Brownian motion. We report the existence of self‐propelled motion of oxygen bulk nanobubbles in ultrapure water at body temperature. Their motion, to a large extent, is self‐affine; there are different scaling exponents along the x‐ and y‐axes as well as for the lateral displacement. We use fractal analysis, and we calculate the structure function, the normalised velocity autocorrelation function, the skewness, and the kurtosis. All descriptors attest the existence of a quasi‐Gaussian stochastic process, which is classified as fractional Brownian motion. More than 50 % of the trajectories along the x‐axis follow superdiffusion, while this amount drops to 30 % for motion along the y‐axis as a result of the asymmetry of the field of view.