Comprehensive understanding of continuous cooling transformation behaviors is important in heat treatment of steels, but there is still a lack of research in the phase transition behaviors of 300M steel, which would greatly hinder the microstructure controlling and finally affect the application of this material. In this work, in-situ observations by high temperature confocal laser scanning microscope (HTCLSM) was introduced by considering its superiorities in clarity, accuracy, and directness, to systemically investigate the microstructure evolutions of 300M steel under various cooling rates (0.01–100 °C/s). Pearlite, bainite, and martensite were observed to form at the cooling rate range of 0.01–0.15, 0.03–1, and 0.3–100 °C/s, respectively. A continuous cooling transformation diagram was constructed based on the in-situ observations, verified by metallography, and compared with dilatometry. Results showed that the transition temperatures by in-situ observations agreed well with the results of dilatometry, while the transition starting temperatures by in situ observation were lower and the phase transition termination temperatures were higher. Finally, models accurately describing the relationships between Vickers hardness, retained austenite content, and cooling rates were established, and the phase transformation mechanisms and kinetics were analyzed. Our finding not only understands fundamentally the transformation mechanisms of different microstructures, but also provides a useful reference for practical microstructure control in heat treatment of 300M steel.