Large arrays of femtoliter-sized chambers were etched into the surface of fused silica slides to enclose and observe hundreds of single horseradish peroxidase (HRP) molecules in parallel. Individual molecules of HRP oxidize the fluorogenic substrate Amplex Red to fluorescent resorufin in separate chambers, which was monitored by fluorescence microscopy. Photooxidation of Amplex Red and photobleaching of resorufin have previously limited the analysis of HRP in femtoliter arrays. We have strongly reduced these effects by optimizing the fluorescence excitation and detection scheme to yield accurate single molecule substrate turnover rates. We demonstrate the presence of long-lived kinetic states of single HRP molecules that are individually different for each molecule in the array. The large number of molecules investigated in parallel provides excellent statistics on the activity distribution in the enzyme population, which is similar to that reported for other enzymes such as β-galactosidase. We have further confirmed that the product formation of HRP in femtoliter chambers is 10-fold lower than that in the bulk solution due to the particular two-step redox reaction mechanism of HRP.