Shear localization is often a failure mechanism in materials subjected to high strain rate deformation. It is generally accepted that the microstructure evolution during deformation and the resulting heterogeneities strongly influence the development of these shear bands. Information regarding the development of local mechanical heterogeneities during deformation is difficult to characterize and as such, constitute is a critical missing piece in current crystal plasticity models. With the recent advances in spherical nanoindentation data analysis, there is now an unprecedented opportunity to obtain insights into the change in local mechanical properties during deformation in materials at sub-micron length scales. In this work, we quantify the evolution of microstructure and local mechanical properties in tantalum under dynamic loading conditions (split Hopkinson pressure bar), to capture the structure-property correlations at the sub-micron length scale. Relevant information is obtained by combining local mechanical property information captured using spherical nanoindentation with complimentary structure information at the indentation site measured using EBSD. The aim is to gain insight into the role of these microstructural features during macroscopic deformation, particularly their influence on the development of mechanical heterogeneities that lead to failure.