This chapter is intended as a pedagogical introduction to the dynamics of optically levitated nanoparticles with a focus on the study of single particle thermodynamics. Much of the work studying thermodynamics with nano- and micro-particles has taken place in liquid, and this chapter will avoid reviewing this impressive body of work, focussing instead on studies of thermodynamics with nanoparticles levitated in a gas. For a recent literature review we refer the reader to Gieseler & Millen Entropy 20, 326 (2018). The authors will discuss extensions into the quantum regime where relevant throughout the chapter.