Abstract Understanding the mechanical properties (e.g., Young's modulus and hardness) of lunar regolith materials, especially their heterogeneity, is of great significance to planetary science. For the first time, we applied grid nanoindentation tests on the Chang'e‐5 lunar breccia clast to analyze its mechanical heterogeneity along with a micromorphology analysis of representative indentation spots. A novel Bayesian deconvolution method was proposed to identify the dominating components and statistical characteristics of their mechanical properties, which were further employed to estimate the elastic properties of lunar rocks. Research has shown that lunar breccia clasts exhibit high mechanical heterogeneity due to their polymineral compositions, well‐developed micro‐pores, micro‐cracks, and complex surface fabrics. Moreover, compared with the asteroid 25,143 Itokawa regolith particles, and the Chelyabinsk and NWA6013 meteorites, the Chang'e‐5 lunar breccia clast, and the lunar DHOFAR 1084, JAH 838 and NWA 11444 meteorites have larger average plastic indices, indicating that the lunar regolith materials may be characterized by better cushion energy absorption and ductility properties than asteroids. In addition, two dominant components with similar hardness but different relative weights were identified for two representative measurement regions within the lunar breccia clast. On the basis of the deconvolved mechanical information, we finally estimated the elastic modulus range of lunar rocks (i.e., 38∼56 GPa) through effective medium theory. This study provides important implications for understanding the influence of planetary surface processes on the mechanical properties of extraterrestrial regolith materials and for predicting the engineering properties of lunar rocks from dimensionally limited lunar samples.