Anodic alumina has been used widely for corrosion protection of aluminum surfaces or as a dielectric material in microelectronics applications. It exhibits a homogeneous morphology of parallel pores that can easily be controlled between 10 and 400 nm. It has been applied as a template for fabrication of the nanometer-scale composite. In this study, the mechanical properties of anodic aluminum oxide (AAO) structures are measured by the nanoindentation method. The nanoindentation technique is one of the most effective methods to measure the mechanical properties of nanostructures. Using the nanoindentation method, we investigated the residual stress and mechanical properties such as the indentation modulus and hardness of the AAO structure with different-sized nanoholes. As a result, we find that the “hole effect” that changes the mechanical properties is the hole size.