We show how to construct nonequilibrium thermodynamics for systems too small to be considered thermodynamically in a traditional sense. Through the use of a nonequilibrium ensemble of many replicas of the system which can be viewed as a large thermodynamic system, we discuss the validity of nonequilibrium thermodynamics relations and analyze the nature of dissipation in small systems through the entropy production rate. We show in particular that the Gibbs equation, when formulated in terms of average values of the extensive quantities, is still valid, whereas the Gibbs-Duhem equation differs from the equation obtained for large systems due to the lack of the thermodynamic limit. Single-molecule stretching experiments are interpreted under the prism of this theory. The potentials of mean force and mean position, now introduced in these experiments in substitution of the thermodynamic potentials, correspond respectively to our Helmholtz and Gibbs energies. These results show that a thermodynamic formalism can indeed be applied at the single-molecule level.