We perform coherent nonlinear spectroscopy of individual excitons strongly confined in single InAs quantum dots (QDs). The retrieval of their intrinsically weak four-wave mixing (FWM) response is enabled by a one-dimensional dielectric waveguide antenna. Compared to a similar QD embedded in bulk media, the FWM detection sensitivity is enhanced by up to 4 orders of magnitude, over a broad operation bandwidth. Three-beam FWM is employed to investigate coherence and population dynamics within individual QD transitions. We retrieve their homogenous dephasing in a presence of low-frequency spectral wandering. Two-dimensional FWM reveals off-resonant Förster coupling between a pair of distinct QDs embedded in the antenna. We also detect a higher order QD nonlinearity (six-wave mixing) and use it to coherently control the FWM transient. Waveguide antennas enable us to conceive multicolor coherent manipulation schemes of individual emitters.