Cryogenic scanning tunneling spectroscopy is increasingly used to study the electronic structure of adatoms, molecules, and semiconductor quantum dots. However, the width of the conductance resonances that indicate the energy levels is much larger than the thermal energy, and this is not well understood. Here, we present a comprehensive study of the line shape and width of the conductance resonances observed with small colloidal semiconductor quantum dots. Experimentally, the line shape and width are studied for CdSe quantum dots of different sizes, with nanocrystals being chemically or physically attached to the substrate. The influence of the temperature is studied from 5 K up to room temperature. We have also varied the set-point current via the tip-to-dot distance to study the effects of dissipative heating of the quantum dot. We present basic calculations of the effects of electron-phonon coupling, charge and dipole fluctuations in the close environment of the quantum dot, mechanical oscillations of the quantum dot in the tunneling junction, and internal heating by nonresonant electron transport. A comparison with the experimental results shows that electron-phonon coupling forms the main contribution to the line broadening for the lowest resonance. Fluctuations of the charge landscape around the quantum dot are most likely involved in an additional broadening. More importantly, these potential fluctuations wash out the vibronic structure of the line shape that should arise from electron-phonon coupling. Our results show that in the case of semiconductor quantum dots, internal heating due to nonresonant electron transport is not important.