Micro-compression testing using an instrumented micro- or nanoindenter equipped with a flat punch is a promising approach to measure the stress–strain response of miniaturized materials and to complement hardness and modulus measurements gained by nanoindendation. Focussed ion beam milling is employed to fabricate micron-sized compression pillars from 1 μm thick single crystal Cu(001), TiN(001), and VN(001) films grown on MgO(001), and from a 6.7 μm thick polycrystalline W coating deposited on Si(001). In situ micro-compression tests in a scanning electron microscope reveal reproducible stress–strain curves for W, a considerable statistical scatter in the flow stress for Cu and VN, and failure of TiN pillars by cleavage. A linear work-hardening rate of 2.7±1.2 GPa is determined for the polycrystalline W coating. The results are critically discussed taking into account material defects and the stiffness of the film-substrate system.