Secondary phase precipitation in Fe-22Mn-9Al-0.6C low-density steel was investigated during a continuous cooling process with different cooling rates through a DIL805A thermal expansion dilatometer, and the changes in microstructures and hardness by different cooling rates were discussed. The results showed that the matrix of the Fe-22Mn-9Al-0.6C was composed of austenite and δ-ferrite; moreover, the secondary phases included κ-carbide, β-Mn and DO3 at room temperature. The precipitation temperatures of 858 °C, 709 °C and 495 °C corresponded to the secondary phases B2, κ-carbide and β-Mn, respectively, which were obtained from the thermal expansion curve by the tangent method. When the cooling rate was slow, it had enough time to accommodate C-poor and Al-rich regions in the austenite due to amplitude modulation decomposition. Furthermore, the Al enrichment promoted δ-ferrite formation. Meanwhile, the subsequent formation of κ-carbide and β-Mn occurred through the continuous diffusion of C and Mn into austenite. In addition, the hardness of austenite was high at 0.03 °C/s due to the κ-carbide and β-Mn production and C enrichment, and it was inversely proportional to the cooling rate. It can be concluded that the presence of κ-carbide, DO3 and β-Mn produced at the austenitic/ferrite interface when the cooling rate was below 0.1 °C/s resulted in κ-carbide and β-Mn precipitating hardly at cooling rates exceeding 0.1 °C/s, which provides a guideline for the industrial production of Fe-Mn-Al-C low-density steel in the design of the hot working process.