Classical methods of material testing become extremely complicated or impossible at micro-/nanoscale. At the same time, depth-sensing indentation (DSI) can be applied without much change at various length scales. However, interpretation of the DSI data needs to be done carefully, as length-scale dependent effects, such as adhesion, should be taken into account. This review paper is focused on different DSI approaches and factors that can lead to erroneous results, if conventional DSI methods are used for micro-/nanomechanical testing, or testing soft materials. We also review our recent advances in the development of a method that intrinsically takes adhesion effects in DSI into account: the Borodich–Galanov (BG) method, and its extended variant (eBG). The BG/eBG methods can be considered a framework made of the experimental part (DSI by means of spherical indenters), and the data processing part (data fitting based on the mathematical model of the experiment), with such distinctive features as intrinsic model-based account of adhesion, the ability to simultaneously estimate elastic and adhesive properties of materials, and non-destructive nature.