The power spectral density (PSD) of any time-dependent stochastic process X t is a meaningful feature of its spectral content. In its text-book definition, the PSD is the Fourier transform of the covariance function of X t over an infinitely large observation time T, that is, it is defined as an ensemble-averaged property taken in the limit T\to ∞ . A legitimate question is what information on the PSD can be reliably obtained from single-trajectory experiments, if one goes beyond the standard definition and analyzes the PSD of a single trajectory recorded for a finite observation time T. In quest for this answer, for a d-dimensional Brownian motion (BM) we calculate the probability density function of a single-trajectory PSD for arbitrary frequency f, finite observation time T and arbitrary number k of projections of the trajectory on different axes. We show analytically that the scaling exponent for the frequency-dependence of the PSD specific to an ensemble of BM trajectories can be already obtained from a single trajectory, while the numerical amplitude in the relation between the ensemble-averaged and single-trajectory PSDs is a fluctuating property which varies from realization to realization. The distribution of this amplitude is calculated exactly and is discussed in detail. Our results are confirmed by numerical simulations and single-particle tracking experiments, with remarkably good agreement. In addition we consider a truncated Wiener representation of BM, and the case of a discrete-time lattice random walk. We highlight some differences in the behavior of a single-trajectory PSD for BM and for the two latter situations. The framework developed herein will allow for meaningful physical analysis of experimental stochastic trajectories.