We introduce a new functional nanoscale device, a single-electron heat diode, consisting of two quantum dots or metallic islands coupled to electronic reservoirs by tunnel contacts. Electron transport through the system is forbidden but the capacitive coupling between the two dots allows electronic fluctuations to transmit heat between the reservoirs. When the reservoir temperatures are biased in the forward direction, heat flow is enabled by a four-step sequential tunneling cycle, while in the reverse-biased configuration this process is suppressed due to Coulomb blockade effects. In an optimal setup the leakage heat current in the reverse direction is only a few percent of the forward current.