Hierarchical guidance is developed for three-dimensional (3D) nanoscale X-ray imaging, enabling identification, refinement, and tracking of regions of interest (ROIs) within specimens considerably exceeding the field of view. This opens up new possibilities for in situ investigations. Experimentally, the approach takes advantage of rapid multiscale measurements based on magnified projection microscopy featuring continuous zoom capabilities. Immediate and continuous feedback on the subsequent experimental progress is enabled by suitable on-the-fly data processing. For this, by theoretical justification and experimental validation, so-called quasi-particle phase-retrieval is generalised to conical-beam conditions, being key for sufficiently fast computation without significant loss of imaging quality and resolution compared to common approaches for holographic microscopy. Exploiting 3D laminography, particularly suited for imaging of ROIs in laterally extended plate-like samples, the potential of hierarchical guidance is demonstrated by the in situ investigation of damage nucleation inside alloy sheets under engineering-relevant boundary conditions, providing novel insight into the nanoscale morphological development of void and particle clusters under mechanical load. Combined with digital volume correlation, we study deformation kinematics with unprecedented spatial resolution. Correlation of mesoscale (i.e. strain fields) and nanoscale (i.e. particle cracking) evolution opens new routes for the understanding of damage nucleation within sheet materials with application-relevant dimensions.