Abstract: The deep hole drilling (DHD) method measures the through‐thickness distribution of residual stress in a component. Sources of uncertainty in the application of the method are identified and three different methods for determining the magnitudes of uncertainty are presented. The analyses are applied to experimental measurements of stress in two calibration studies for ferritic steel and an aluminium alloy. Finally, the residual stresses measured in a repair welded steel pipe are examined to assess the level of uncertainty.