We investigate the regularity issue for the diffuse reflection boundary problem to the stationary linearized Boltzmann equation for hard sphere potential, cutoff hard potential, or cutoff Maxwellian molecular gases in a strictly convex bounded domain. We obtain pointwise estimates for first derivatives of the solution provided the boundary temperature is bounded differentiable and the solution is bounded. This result can be understood as a stationary version of the velocity averaging lemma and mixture lemma.