In this paper we introduce a new correlative approach to materials characterisation that combines measurements from both electron backscatter diffraction (EBSD) and nano-indentation mapping. Recent advances in both techniques have resulted in significant improvements in speed, spatial resolution and data quality. This enables direct correlation between the measured physical properties (such as hardness and Young’s Modulus) and the crystallographic, phase and grain data derived from the EBSD measurements. We call this approach “correlative mechanical microscopy” and demonstrate its effectiveness on complex powder metallurgy steel samples that contain multiple microstructural constituents, such as ferrite, martensite, bainite, cementite and retained austenite.