Methods for obtaining local elasto-plastic properties of bearing steels through nano-indentation measurements are described. The usual way to analyze the unloading part of a nano-indentation test in order to obtain the elastic modulus of nonmetallic inclusions or primary carbides in bearing steels is summarized. Then, emphasis is given to a new method mat enables one to derive the profile of micro-plastic properties of a surface hardened bearing steel. Experimentally, it consists of measuring the residual displacement d_r of a spherical indenter, following loading-unloading cycles at increasing maximal force F_max. First, the direct problem, i.e., simulating by the finite element method the nano-indentation response, d_r(F_max), from the knowledge of the strain-hardening law, σ(ε_p), is studied. It is validated on steel specimens that are carburised homogeneously with different carbon concentrations. Second, the inverse problem, i.e. obtaining the strain-hardening law from the nano-indentation response, is studied on carburised and nitrided layers.