The onset of plasticity in quenched martensitic microstructures is characterized by a low initial yield stress, extreme initial hardening, and sudden saturation. The existing literature attributes these phenomena to residual stresses or microstructural heterogeneities. We introduce a novel perspective, suggesting that orientation-dependent yielding of lath martensite, induced by inter-lath sliding, significantly contributes to the observed behavior. To support this, we employ a numerical microstructural model, considering the yielding anisotropy of martensite packets due to sliding along their habit plane orientation. The combined response of early yielding in martensite packets with a favorable habit plane, along with those initially remaining elastic due to an unfavorable orientation, results in a macro-scale behavior with a low initial yield stress, followed by substantial initial hardening until the saturation stress level is approached. The simulations also qualitatively capture other observations reported for quenched martensitic steels, e.g. the effect of carbon content.