A new method for sampling wear particles directly from the lubricant reservoir has been developed and applied successfully for analyzing wear particles by high-resolution scanning electron microscopy in transmission mode having coupled energy-dispersive X-ray spectroscopy. The lubricated tribological testing was carried out with fully formulated as well as with non-formulated synthetic base oil. It was possible to analyze individual particles with dimensions as small as about 5–30 nm which are likely the “primary” wear particles. A majority of the particles, however, are agglomerated and, thus, lead to the formation of larger agglomerates of up to a few micrometers. Chemical analysis led to the conclusion that most of the observed particles generated in formulated oil, especially the larger ones, are composed of the additives of the lubricant oil. In non-formulated base oil, the primary particles are of similar dimensions but contain only iron, chromium and oxygen, but most likely stem from the mating materials. This finding points to the fact that the main wear mechanism under lubricated conditions with fully formulated oil is more like a continuous shearing process rather than a catastrophic failure with the generation of larger primary particles. When the oil is non-formulated, however, several wear mechanisms act simultaneously and the wear rate is increased significantly. Generated larger primary particles are milled down to the nanoscale. When the oil is fully formulated, wear mainly takes places at the additive layer or tribofilm; thus, the steel surface is protected.