The influence of residual stresses as a result of the welding process in the overall stress state of the weld joint is of great importance because they significantly affect the creation and growth of cracks, the occurrence of brittle fracture, and material fatigue. Previous experiences indicate that it would be necessary to provide an assessment of the deformation and stress state in the critical zones of the weld joints using a suitable test method, which will not endanger the structural integrity of the tested places. There are different methods for measurement of residual stress in welded constructions: destructive, semi-destructive and non-destructive. To choose one method over another, it is necessary to take into account the advantages and limitations of these techniques for practical application. This paper considers and analyzes the residual stresses in the welded joint of high-strength steel S960QL. MAG welding was performed by a robot. Three methods were used to measure the residual stresses: the magnetic method (MAS), the X-ray diffraction method (XRD), and the hole drilling method (HD). By all three methods, the highest residual stresses were measured in the weld metal and in the heat-affected zones. Nevertheless, the measured values differed considerably. The differences can be contributed to (a) the kind of stress that the individual method measures, (b) to the volume of material from which each method captures the signal and averages it, and (c) to the different sensitivities of the applied methods to coarse-grained microstructure and microstructural gradients.