Spin Hall nano-oscillators (SHNOs) are emerging spintronic devices for microwave signal generation and oscillator-based neuromorphic computing combining nano-scale footprint, fast and ultra-wide microwave frequency tunability, CMOS compatibility, and strong non-linear properties providing robust large-scale mutual synchronization in chains and two-dimensional arrays. While SHNOs can be tuned via magnetic fields and the drive current, neither approach is conducive to individual SHNO control in large arrays. Here, we demonstrate electrically gated W/CoFeB/MgO nano-constrictions in which the voltage-dependent perpendicular magnetic anisotropy tunes the frequency and, thanks to nano-constriction geometry, drastically modifies the spin-wave localization in the constriction region resulting in a giant 42% variation of the effective damping over four volts. As a consequence, the SHNO threshold current can be strongly tuned. Our demonstration adds key functionality to nano-constriction SHNOs and paves the way for energy-efficient control of individual oscillators in SHNO chains and arrays for neuromorphic computing. Spin Hall nano-oscillators can be tuned via magnetic fields and the drive current, but individual oscillator control in large arrays remains a challenge. Here, the authors provide individual control of the threshold current and the auto-oscillation frequency by voltage-controlled magnetic anisotropy.