A general problem for the evaluation of measurement results of residual stresses due to welding is the limited knowledge about the residual stresses e.g. only the residual stresses at the surface can be determined. Residual stress measurements in TIG-welded joints of a steel S960Q1 have been carried out by means of X-rays, by neutron scattering and by the hole drilling method. The experimental results are a first approach to get more reliable informations about the mechanisms which lead to the residual stress relaxation of fatigue loaded welded joints of high strength steels. Therefore informations about the residual stresses not only at the surface but also in deeper zones of the weldments are required. The results obtained by neutron scattering and by the hole drilling method are discussed with systematical informations of the residual stresses at the surface measured by X-ray diffraction. The results show, that the combination of the different methods can enable a better knowledge of the residual stress relaxation during fatigue loading of welded joints.