The conventional Bragg diffraction geometry, normally used to characterize the residual surface stress state, it is not suitable to evaluate surface treated materials and thin films. The X-ray path lengths through a surface layer or thin film are too short to produce adequate diffraction intensities in relation to the bulk or the substrate. Another limitation of the conventional technique appears when a residual stress gradient is present in the irradiated surface. The technique only enables the evaluation of the mean value of this gradient. In these cases, a recently proposed Pseudo-Grazing Incident X-ray Diffraction method would be better applicable. In this study, the Pseudo-Grazing Incidence X-ray Diffraction is applied to characterize the residual stress depth profiles of several AISI 4140 samples, which were prepared, by mechanical polishing and grinding, in order to present different surface roughness parameters, Ra. The experimental results lead to the conclusion that the surface roughness limits the application of the Pseudo-Grazing Incidence methodology to a minimum X-ray incident angle. This angle is the one that enables a mean X-ray penetration depth with the same order of magnitude of the sample surface roughness parameter, Ra.