Colloidal semiconductor quantum dots (QDs) have strong light absorption, continuously adjustable narrowband emission, and high photoluminescence quantum yields, thereby making them promising materials for light-emitting diodes, solar cells, detectors, and lasers. Single-QD photoluminescence spectroscopy can remove the ensemble average to reveal the structure information and exciton dynamics of QD materials at a single-particle level. The study of single-QD spectroscopy can provide guidelines for rationally designing the QDs and giving the mechanism basis for QD-based applications. We can also carry out the research of the interaction between light and single QDs on a nanoscale, and prepare QD-based single-photon sources and entangled photon sources. Here, we review the recent research progress of single-QD photoluminescence spectroscopy and exciton dynamics, mainly including photoluminescence blinking dynamics, and exciton and multi-exciton dynamics of single colloidal CdSe-based QDs and perovskite QDs. Finally, we briefly discuss the possible future development trends of single-QD spectroscopy and exciton dynamics.