We present first damage threshold investigations on EUV mirrors and substrate materials using a table-top laser produced plasma source. A Schwarzschild objective with Mo/Si multilayer coatings for the wavelength of 13.5 nm was adapted to the source, generating an EUV spot of 5 microm diameter with a maximum energy density of approximately 6.6 J/cm(2). Single-pulse damage tests were performed on grazing incidence gold mirrors, Mo/Si multilayer mirrors and mirror substrates, respectively. For gold mirrors, a film thickness dependent damage threshold is observed, which can be partially explained by a thermal interaction process. For Mo/Si multilayer mirrors two damage regimes (spot-like, crater) were identified. Fused silica exhibits very smooth ablation craters, indicating a direct photon-induced bond breaking process. Silicon shows the highest damage threshold of all investigated substrate and coating materials. The damage experiments on substrates (fused silica, silicon, CaF(2)) were compared to excimer laser ablation studies at 157 nm.