Measuring residual stress at the sub-micron scale imposes experimental challenges. We propose a new technique, namely the incremental micro-hole-drilling method (IµHM), for measurement of residual stress profiles as a function of depth with high spatial definition. Like its macroscale counterpart, it is applicable to either crystalline or amorphous materials, but at the sub-micron scale. Our method involves micro-hole milling using the focused ion beam of a dual beam FEGSEM/FIB microscope. The surface displacements are tracked by digital image correlation of SEM images recorded during milling. The displacement fields mapped around the whole are used to reconstruct the variation of the in-plane stress tensor as a function of depth. In this way the multi-axial state of residual stress has been characterised around drilled holes of 2 microns or so, enabling the profiling of the stress variation at the sub-micron scale to a depth of 2 microns. Here we demonstrate the efficacy of this method by measuring the stresses in a surface-severe-plastically-deformed (S2PD) Zr50Cu40Al10 bulk metallic glass (in atomic percent, at.%) sample after failure under four-point-bending-fatigue.