This paper presents an analysis and experimental study on the formation and distribution of machined surface residual stress in pre-stress cutting. In the first component of the paper, the mechanical and thermal effect on residual stress is analysed. The results show that machined harden layer and cutting heat transfer conditions are crucial to form residual stress in a machined surface. Residual stress has three kinds of distributions in different mechanical and thermal conditions: tensile stress, compressive stress and tensile–compressive stress. If pre-stress is applied, it would facilitate residual compressive stress in the machined surface effectively; its action is analysed with an experimental study. The experiment is carried out by hardened 40Cr alloy steel turning with different tool rounds and pre-stress loading; the results obtained in this study indicate that the tool round would redound to generate residual compressive stress in the machined surface and affect the residual stress distribution significantly, whilst pre-stress load can affect the magnitude of residual stress actively, but does not for its distribution. It is found that the experimental results of residual stress distribution are consistent with the theoretical analysis.