Electrochemical behaviors of Prussian blue (PB) have been intensively studied for decades because it not only serves as a model electro-active nanomaterial in fundamental electrochemistry but also a promising metal-ion storage electrode material for developing rechargeable batteries. Traditional electrochemical studies are mostly based on bulk materials, leading to an averaged property of billions of PB nanoparticles. In the present work, we employed surface plasmon resonance microscopy (SPRM) to resolve the optical cyclic voltammograms of single PB nanoparticles during electrochemical cycling. It was found that the electrochemical behavior of single PB nanoparticles nicely followed a classical thin-film electrochemistry theory. While kinetic controlled electron transfer was observed at slower scan rates, intraparticle diffusion of K ions began to take effect when the scan rate was higher than 60 mV/s. We further found that the electrochemical activity among individual PB nanoparticles was very heterogeneous and such a phenomenon has not been previously observed in the bulk measurements. The present work not only demonstrates the thin-film electrochemical feature of single electro-active nanomaterials for the first time, it also validates the applicability of SPRM technique to investigate a variety of metal ion-storage battery materials, with implications in both fundamental nanoelectrochemistry and electro-active materials for sensing and battery applications.