We investigate the physics of a magnetic impurity with spin 1/2 in a correlated metallic host. Describing the band by a Hubbard Hamiltonian, the problem is analyzed using dynamical mean-field theory in combination with Wilson's nonperturbative numerical renormalization group. We present results for the single-particle density of states and the dynamical spin susceptibility at zero temperature. New spectral features (side peaks) are found which should be observable experimentally. In addition, we find a general enhancement of the Kondo scale due to correlations. Nevertheless, in the metallic phase, the Kondo scale always vanishes exponentially in the limit of small hybridization.