This article describes results of the residual stress measurements in different iron alloys using a few non-destructive techniques based on X-ray diffraction. It was shown that the results provide useful information for understanding the microstructural phenomenon in each alloy, although these techniques are not universally applicable to various cases. In this paper, the residual stresses formed during stress-induced martensitic transformation and its reverse transformation in shape memory alloys, the residual stresses balancing between two phases in duplex stainless steels and the residual stresses formed by inhomogeneous plastic strains in polycrystalline twin-induced plasticity steels are shown. It is important to select an adequate method according to the phenomena and properties of interest in iron alloys. The residual stresses formed in a high-entropy alloy containing iron are also presented, taking into account into the inhomogeneity in bulk. The residual stresses and related microstructural data in materials in structures and device components are considered to be effective parameters for evaluating their mechanical properties. While modern diffraction measurement methods are relatively easy to be operated, it is noted that the results include issues related to the microstructure of the materials. These issues should also be discussed in the residual stress measurements at different scales, and reliable fundamental data related to residual stress considering the microstructure would be necessary for discussion.