One of the most exciting areas of research in quantum condensed matter physics is the push to create topologically protected qubits using non-Abelian anyons. The focus of these efforts has been Majorana zero modes (MZMs), which are predicted to emerge as localized zero-energy states at the ends of 1D topological superconductors. A key role in the search for experimental signatures of these quasiparticles has been played by the scanning tunnelling microscope (STM). The power of high-resolution STM techniques is perhaps best illustrated by their application in identifying MZMs in 1D chains of magnetic atoms on the surface of a superconductor. In this platform, STM spectroscopic mapping has demonstrated the localized nature of MZM zero-energy excitations at the ends of such chains, and experiments with superconducting and magnetic STM tips have been used to uniquely distinguish them from trivial edge modes. Beyond the atomic chains, STM has also uncovered signatures of MZMs in 2D materials and topological surface and boundary states, when they are subjected to the superconducting proximity effect. Looking ahead, future STM experiments may be able to demonstrate the non-Abelian statistics of MZMs.