We produced a 316L stainless steel with heterogeneous nanometer-thick lamellar structures by severe cold-rolling at room temperature, and conducted micro-scale tensile tests in different orientations to evaluate both the in-plane (parallel to the nano-lamellae) and out-of-plane (normal and 45° inclined to the nano-lamellae) mechanical anisotropy. The parallel orientation demonstrates the greatest tensile strength while the inclined orientation exhibits the least strength. The tensile tests in normal and inclined directions also indicate significant transient elastic-plastic response due to the strain path change. Fractographic examination demonstrates that the specimen fails in the normal direction by premature micro-void nucleation and growth, which restricts its tensile strength; however, we identified zig-zag cracking associated with lamellar shear cracking in the inclined direction.