The study of molecular dynamics at the single-molecule level with fluorescence correlation spectroscopy (FCS) and far-field optics has contributed greatly to the functional understanding of complex systems. Unfortunately, such studies are restricted to length scales of >200 nm because diffraction does not allow further reduction of the measurement volume. This sets an upper limit on the applicable concentration of fluorescently labeled molecules and even more importantly, averages out details of nanoscale dynamics. By combining FCS and fluorescence intensity distribution analysis (FIDA) with sub-diffraction–resolution stimulated emission depletion (STED) nanoscopy, we remove this restriction and obtain open measurement volumes of nanoscale dimensions which are tunable in size. As a consequence, single-molecule studies can now be extended to nanoscale dynamics and may be applied to much larger, often endogenous concentrations. In solution, low-brightness signal from axial out-of-focus volume shells was taken into account by using both FCS and FIDA in conjunction to analyze the data. In two-dimensional systems, such as lipid membranes, the background is greatly reduced and measurements feature excellent signal-to-noise ratios. Measurement foci of down to 30 nm in diameter directly reveal anomalous diffusion of lipids in the plasma membrane of living cells and allow for the determination of on/off rates of the binding of lipids to other membrane constituents. Such important insight into the prominent biological question of lipid membrane organization or 'lipid rafts' shows that combining fluctuation analysis with STED-engineered ultra-small measurement volumes is a viable and powerful new approach to probing molecular dynamics on the nanoscale.