The power spectral density (PSD) of any time-dependent stochastic processes $X_t$ 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 $T \to \infty$. 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 \textit{single} trajectory recorded for a \textit{finite} observation time $T$. In quest for this answer, for a $d$-dimensional Brownian motion 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 Brownian motion 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 Brownian motion, and the case of a discrete-time lattice random walk. We highlight some differences in the behavior of a single-trajectory PSD for Brownian motion and for the two latter situations. The framework developed herein will allow for meaningful physical analysis of experimental stochastic trajectories.