Continuous-wave, multi-frequency electron paramagnetic resonance (EPR) studies are reported for a series of single-crystal and powder samples containing different dilutions of a recently discovered mononuclear Ho^III (4f¹⁰) single-molecule magnet (SMM) encapsulated in a highly symmetric polyoxometalate (POM) cage. The encapsulation offers the potential for applications in molecular spintronics devices, as it preserves the intrinsic properties of the nanomagnet outside of the crystal. A significant magnetic anisotropy arises due to a splitting of the Hund's coupled total angular momentum (J = L + S = 8) ground state in the POM ligand field. Thus, high-frequency (50.4 GHz) EPR studies reveal a highly anisotropic eight line spectrum corresponding to transitions within the lowest m_J = ±4 doublet, split by a strong hyperfine interaction with the I = 7/2 Ho nucleus (100% natural abundance). X-band EPR studies reveal the presence of an appreciable tunneling gap between the m_J = ±4 doublet states having the same nuclear spin projection, leading to a highly non-linear field-dependence of the spectrum at low-frequencies.