Instrumented indentation, which is also known as nanoindentation or depth-sensing indentation, is increasingly being used to probe the residual stresses of materials including bulk solids, thin films, and coatings. The residual stresses are proved to have significant effects on various nanoindentation parameters such as hardness, loading curve, unloading curve, pile-up amount around indentation, and true contact area. By analyzing these parameters, numerous methods are developed to evaluate the residual stresses of materials in recent years. This article reviews six commonly used models which determine residual stresses from analyzing load-depth curves, as well as indentation fracture technique which is based on the classical fracture mechanics. Emphasis is placed on the principle, application and limitation of each nanoindentation method.