The emergence of high repetition-rate X-ray free-electron lasers (XFELs) powered by superconducting accelerator technology enables the measurement of significantly more experimental data per day than was previously possible. The European XFEL is expected to provide 27,000 pulses per second, over two orders of magnitude more than any other XFEL. The increased pulse rate is a key enabling factor for single-particle X-ray diffractive imaging, which relies on averaging the weak diffraction signal from single biological particles. Taking full advantage of this new capability requires that all experimental steps, from sample preparation and delivery to the acquisition of diffraction patterns, are compatible with the increased pulse repetition rate. Here, we show that single-particle imaging can be performed using X-ray pulses at megahertz repetition rates. The results obtained pave the way towards exploiting high repetition-rate X-ray free-electron lasers for single-particle imaging at their full repetition rate.