The nuclear exit of messenger RNA (mRNA) molecules through the nuclear pore complex (NPC) is an essential step in the translation process of all proteins. The current limitations of conventional fluorescence and electron microscopy have prevented elucidation of how mRNA exports through the NPCs of live cells. In the recent years, various single-molecule fluorescence (SMF) microscopy techniques have been developed to improve the temporal and spatial resolutions of live-cell imaging allowing a more comprehensive understanding of the dynamics of mRNA export through native NPCs. In this review, we firstly evaluate the necessity of single-molecule live-cell microscopy in the study of mRNA nuclear export. Then, we highlight the application of single-point edge-excitation sub-diffraction (SPEED) microscopy that combines high-speed SMF microscopy and a 2D-to-3D transformation algorithm in the studies of nuclear transport kinetics and route for mRNAs. Finally, we summarize the new features of mRNA nuclear export found with SPEED microscopy as well as the reliability and accuracy of SPEED microscopy in mapping the 3D spatial locations of transport routes adopted by proteins and mRNAs through the NPCs.