To understand the unexpected and puzzling longterm stability of nanoscale gas bubbles, it is crucial to probe their nature and intrinsic properties. We report herein synchrotron-based scanning transmission X-ray microscopy (STXM) evidence of highly condensed oxygen gas molecules trapped as surface nanobubbles. Remarkably, the analysis of absorption spectra of a single nanobubble revealed that the oxygen density inside was 1-2 orders of magnitude higher than that in atmospheric pressure, and these bubbles were found in a highly saturated liquid environment with the estimated oxygen concentration to be hundreds of times higher than the known oxygen solubility in equilibrium. Molecular dynamics simulations were performed to investigate the stability of surface nanobubbles on a heterogeneous substrate in gas-oversaturated water. These results indicated that gas molecules within confinement such as the nanobubbles could maintain a dense state instead of the ideal gas state, as long as their surrounding liquid is supersaturated. Our findings should help explain the surprisingly long lifetime of the nanobubbles and shed light on nanoscale gas aggregation behaviors.