The mechanical properties of hydrogels are of importance in many applications, including scaffolds and drug delivery vehicles where the release of drugs is controlled by water transport. While the macroscopic mechanical properties of hydrogels have been reported frequently, there are less studies devoted to the equally important nanomechanical response to local load and shear. Scanning probe methods offer the possibility to gain insight on surface nanomechanical properties with high spatial resolution, and thereby provide fundamental insights on local material property variations. In this work, we investigate the local response to load and shear of poly(2-hydroxyethyl methacrylate) hydrogels with two different cross-linking densities submerged in aqueous solution. The response of the hydrogels to purely normal loads, as well as the combined action of load and shear, was found to be complex due to viscoelastic effects. Our results show that the surface stiffness of the hydrogel samples increased with increasing load, while the tip-hydrogel adhesion was strongly affected by the load only when the cross-linking density was low. The combined action of load and shear results in the formation of a temporary sub-micrometer hill in front of the laterally moving tip. As the tip pushes against such hills, a pronounced stick-slip effect is observed for the hydrogel with low cross-linking density. No plastic deformation or permanent wear scar was found under our experimental conditions.