Mechanical properties and microstructure are investigated for a martensitic stainless steel (AISI 420) fabricated by selective laser melting (SLM) in three build directions. The tensile specimens built by SLM are classified into three groups. Group A is horizontally built in the thickness direction, Group B is horizontally built in the width direction, and Group C is vertically built in the length direction. The loading direction in tensile test is parallel to the build direction of Group C, but perpendicular to that of Groups A and B. Experimental results indicate build direction has significant effects on the residual stress, hardness, and tensile properties of SLM builds. Microstructural analyses indicate the as-fabricated SLM AISI 420 builds exhibit elongated cells and acicular structures which are composed of martensite and retained austenite phases growing along the build direction. Such anisotropy in the microstructure leads to anisotropic mechanical properties as Group C specimens (length direction) exhibit greater yield stress, ultimate tensile stress, and elongation than the specimens of Groups A (thickness direction) and B (width direction). The residual compressive stress in the gauge section also contributes to the superior tensile properties of Group C (length direction), as compared to Groups A (thickness direction) and B (width direction), which exhibit residual tensile stress in the gauge section.