Scanning probe microscopy (SPM) has undergone rapid advancements since its invention almost three decades ago. Applications have been extended from topographical imaging to the measurement of magnetic fields, frictional forces, electric potentials, capacitance, current flow, piezoelectric response and temperature (to name a few) of inorganic and organic materials, as well as biological entities. Here, we limit our focus to mechanical characterization by taking advantage of the unique imaging and force/displacement sensing capabilities of SPM. This article presents state-of-the-art in situ SPM nanomechanical testing methods spanning (1) probing the mechanical properties of individual one-dimensional nanostructures; (2) mapping local, nanoscale strain fields, fracture, and wear damage of nanostructured heterogeneous materials; and (3) measuring the interfacial strength of nanostructures. The article highlights several novel SPM nanomechanical testing methods, which are expected to lead to further advancements in nanoscale mechanical testing and instrumentation toward the exploration and fundamental understanding of mechanical property size effects in nanomaterials.