Selective laser melting (SLM) is frequently used additive manufacturing technique capable of producing various complex parts including thin-wall sections. However the surface roughness is a limiting factor in thin sections produced by SLM process when strength is the main criterion. In this study, the influence of build orientation, thickness and roughness on the resulting mechanical properties of as-built test samples was investigated. Various thin sheets of EN 1.2709 maraging steel built in horizontal and vertical orientations produced by SLM were investigated using in-situ micro-tensile testing in a scanning electron microscope. The mechanical strength and deformation mechanisms were analyzed and explained based on thickness and build orientation. Increased ductility was observed in thicker samples as well as in the horizontal build samples. The results illustrate the potential of the in-situ test technique and aspects important to consider in design guidelines for thin AM structures.