Animal movements have been related to optimal foraging strategies where self-similar trajectories are central. Most of the experimental studies done so far have focused mainly on fitting statistical models to data in order to test for movement patterns described by power-laws. Here we show by analyzing over half a million movement displacements that isolated termite workers actually exhibit a range of very interesting dynamical properties –including Lévy flights– in their exploratory behaviour. Going beyond the current trend of statistical model fitting alone, our study analyses anomalous diffusion and structure functions to estimate values of the scaling exponents describing displacement statistics. We evince the fractal nature of the movement patterns and show how the scaling exponents describing termite space exploration intriguingly comply with mathematical relations found in the physics of transport phenomena. By doing this, we rescue a rich variety of physical and biological phenomenology that can be potentially important and meaningful for the study of complex animal behavior and, in particular, for the study of how patterns of exploratory behaviour of individual social insects may impact not only their feeding demands but also nestmate encounter patterns and, hence, their dynamics at the social scale.