Understanding the interfacial stress transfer between carbon nanotubes (CNTs) and polymer matrices is of great importance to the development of CNT-reinforced polymer nanocomposites. In this paper, an experimental study is presented of the interfacial strength between individual double-walled CNTs and poly(methyl methacrylate) (PMMA) using an in situ nanomechanical single-tube pull-out testing scheme inside a high-resolution electron microscope. By pulling out individual tubes with different embedded lengths, this work reveals the shear lag effect on the nanotube–polymer interface and demonstrates that the effective interfacial load transfer occurs only within a certain embedded length. These results show that the CNT–PMMA interface possesses an interfacial fracture energy within 0.054–0.80 J/m2 and a maximum interfacial strength within 85–372 MPa. This work is useful to better understand the local stress transfer on nanotube–polymer interfaces.