The effects of thermomechanical treatment (cold rolling + tempering) on the microstructure evolution, precipitation behavior, and mechanical properties of the 9Cr3Co3W1Cu martensitic steel (G115) were investigated, by adjusting the cold rolling reduction (0, 20% and 40%), tempering temperature (750 °C and 800 °C) and time (30 min and 120 min). The results indicate that the G115 steel with 20% cold-rolling reduction rate followed by tempering at 800 °C for 30 min exhibits the optimum mechanical response (yield strength (σs) 899 MPa, elongation (δ) 26%), compared with that of 40% cold-rolled (σs 812 MPa, δ 17%) and undeformed steels (σs 670 MPa, δ 15%). The optimum yield strength in 20%-800 °C-30 min steel is attributed to the dislocation strengthening and precipitation strengthening, for the relatively low recrystallization rate and high density Cr23C6 and NbC precipitates, and the good ductility is attributed to the low recrystallization ratio and the uniform microstructure. As a comparison, in 40%-800 °C-30 min steel, a ferrite martensite dual phase structure formed. Due to the hardness difference between the two phases, there may be significant inharmony during the deformation process, leading to premature fracture.