Diffusion MRI (dMRI) can provide invaluable information about the structure of different tissue types in the brain. Standard dMRI acquisitions facilitate a proper analysis (e.g. tracing) of medium-to-large white matter bundles. However, smaller fiber bundles connecting very small cortical or sub-cortical regions cannot be traced accurately in images with large voxel sizes. Yet, the ability to trace such fiber bundles is critical for several applications such as deep brain stimulation and neurosurgery. In this work, we propose a novel acquisition and reconstruction scheme for obtaining high spatial resolution dMRI images using multiple low resolution (LR) images, which is effective in reducing acquisition time while improving the signal-to-noise ratio (SNR). The proposed method called compressed-sensing super resolution reconstruction (CS-SRR), uses multiple overlapping thick-slice dMRI volumes that are under-sampled in q-space to reconstruct diffusion signal with complex orientations. The proposed method combines the twin concepts of compressed sensing and super-resolution to model the diffusion signal (at a given b-value) in a basis of spherical ridgelets with total-variation (TV) regularization to account for signal correlation in neighboring voxels. A computationally efficient algorithm based on the alternating direction method of multipliers (ADMM) is introduced for solving the CS-SRR problem. The performance of the proposed method is quantitatively evaluated on several in-vivo human data sets including a true SRR scenario. Our experimental results demonstrate that the proposed method can be used for reconstructing sub-millimeter super resolution dMRI data with very good data fidelity in clinically feasible acquisition time.