A commercial Zirconium alloy was subjected to different thickness reductions (20%, 40% and 60%) by cold rolling. A through-thickness gradient in microstructure, crystallographic texture and residual stress was observed. This gradient was till 1/8th of the specimen thickness, and implied a corresponding anisotropy in the imposed strain state. An elasto-plastic FE (finite element) model was developed to capture such through thickness deformation gradients. A reasonably good agreement was observed between the experimental and predicted residual stress distributions when the material anisotropy was accounted for. Through-thickness residual stress evolution was shown to be significantly affected by material anisotropy and to a lesser extent by the rolling parameters (coefficient of friction and rotational speed).