Single-entity electrochemistry (SEE) provides powerful means to measure single cells, single particles, and even single molecules at the nanoscale by diverse well-defined interfaces. The nanoconfined electrode interface has significantly enhanced structural, electrical, and compositional characteristics that have great effects on the assay limitation and selectivity of single-entity measurement. In this Perspective, after introducing the dynamic chemistry interactions of the target and electrode interface, we present a fundamental understanding of how these dynamic interactions control the features of the electrode interface and thus the stochastic and discrete electrochemical responses of single entities under nanoconfinement. Both stochastic single-entity collision electrochemistry and nanopore electrochemistry as examples in this Perspective explore how these interactions alter the transient charge transfer and mass transport. Finally, we discuss the further challenges and opportunities in SEE, from the design of sensing interfaces to hybrid spectro-electrochemical methods, theoretical models, and advanced data processing.