We investigated the radial mechanical properties of multi-walled boron nitride nanotubes (MW-BNNTs) using atomic force microscopy. The employed MW-BNNTs were synthesized using pressurized vapor/condenser (PVC) methods and were dispersed in aqueous solution using ultrasonication methods with the aid of ionic surfactants. Our nanomechanical measurements reveal the elastic deformational behaviors of individual BNNTs with two to four tube walls in their transverse directions. Their effective radial elastic moduli were obtained through interpreting their measured radial deformation profiles using Hertzian contact mechanics models. Our results capture the dependences of the effective radial moduli of MW-BNNTs on both the tube outer diameter and the number of tube layers. The effective radial moduli of double-walled BNNTs are found to be several-fold higher than those of single-walled BNNTs within the same diameter range. Our work contributes directly to a complete understanding of the fundamental structural and mechanical properties of BNNTs and the pursuits of their novel structural and electronics applications.