Oxide layer on the surface of a high speed steel (HSS) hot work roll can act as a protective layer and affects the wear and friction between the strip and the roll. In the numerical design of a work roll, it is necessary to understand the mechanical properties of these oxide layers. This paper describes a combined FE simulations and nanoindentation experiments to obtain the depth dependent mechanical properties of oxide layers on HSS. The mechanical properties of this layer, including the elastic modulus, yield strength, Poisson's ratio and porosity, are inferred from the input parameters to the FE simulations after the simulated load–displacement curves match the experimental curves to within a specified tolerance. The results showed that the outer layer has a higher modulus and higher hardness than the inner layer. The interaction between the mechanical properties and nanoindentation parameters such as the maximum load and unloading slope of the load–displacement curves were established via multiple regression analysis. The maximum load and slope of the load–displacement were strongly correlated with the elastic modulus and yield strength whilst the relationship between porosity and Poisson's ratio is relatively weak.