This answer shows that for a one-object category $\mathscr M$ with object $\star$ (corresponding to a monoid $M$), the functors $\mathscr M\to\mathbf{Set}$ are the left $M$-sets. I don't understand how to prove the similar statement about functors $\mathscr M^{op}\to\mathbf{Set}$ and right $M$-sets.
For example, let's try to assign to every such functor a right $M$-set.
Let $F: \mathscr M^{op}\to\mathbf{Set}$ be a functor. We need to find a set $S$ and a function $$S\times M\to M\\(s,m)\mapsto s\cdot m$$ sayisfying $s\cdot e=s$ and $s\cdot (m_1m_2)=(s\cdot m_1)\cdot m_2$.
There are no many choices for $S$. Let $S=F(\star)$. But I don't understand how $\mathscr M^{op}$ is different from $\mathscr M$ for a one-object category $\mathscr M$. Any arrow is equal to its opposite, and any two arrows can be composed in any order, right? In particular, this gives $$F(a)\circ F(b)=F(a\circ b)=F(b\circ a)=F(b)\circ F(a),$$ or am I wrong?
Anyway, how to define $\cdot$ using $F$?
This answer is based on the answer by Guido A.; I'm posting it primarily for me.
Let $\star$ be the object of the one-object category $\mathscr M$.
Given a functor $F:\mathscr M^{op}\to \mathbf{Set}$, set $S=F(\star)$ and define the right $M$-action on $S$
$$S\times M\to S,\\ (s,m)\mapsto s\cdot m$$ by $s\cdot m=F(m)(s)$. Since $F(1_\star)=1_S$, we have $F(1_\star)(s)=1_S(s)$ or, equivalently, $s\cdot 1_\star=s$, which is the same as $s\cdot e=s$ where $e$ is the identity of $M$ (since the arrow $1_\star$ corresponds to $e$). Since, by definition, $m\circ_{op}m'=m'\circ m$, the functoriality condition $F(m\circ_{op}m')=F(m)\circ F(m')$ amounts to $F(m'\circ m)=F(m)\circ F(m')$, and evaluating at $s\in S$ gives $s\cdot (m'm)=(s\cdot m')\cdot m$, where we have used that $\circ$ corrresponds to monoid multiplication. In this way, a functor $\mathscr M^{op}\to \mathbf{Set}$ gives rise to a right $M$-set.
Conversely, given a right $M$-set $(S,\cdot)$, define the functor (the fact that this is a functor is yet to be verified) $F:\mathscr M^{op}\to \mathbf{Set}$ by $F(\star)=S$ and $F(m)(s)=s\cdot m$. The two conditions certifying that $\cdot$ is a right action then translate to the condition that $F$ is indeed a functor, just like above. In this way, a right $M$-set gives rise to a functor $\mathscr M^{op}\to \mathbf{Set}$.