Excitonic and spin excitations of single semiconductor quantum dots (QDs) currently attract attention as possible candidates for solid–state–based implementations of quantum logic devices. Due to their rather short decoherence times in the picosecond to nanosecond range, such implementations rely on using ultrafast optical pulses to probe and control coherent polarizations. We combine ultrafast spectroscopy and near–field microscopy to probe the nonlinear optical response of a single QD on a femtosecond time–scale. Transient reflectivity spectra show pronounced oscillations around the QD exciton line. These oscillations reflect phase–disturbing Coulomb interactions between the excitonic QD polarization and continuum excitations. The results show that although semiconductor QDs resemble in many respects atomic systems, Coulomb many–body interactions can contribute significantly to their optical nonlinearities on ultrashort time–scales.