This study is dedicated to the investigation of the cyclic stress-strain response of a newly developed ferritic steel reinforced with a high-volume fraction of oxide nanoparticles. The mechanically alloyed powder was consolidated by hot rotary swaging into cylindrical rods with diameters of 15 mm and 12 mm. Subsequently, the rods were annealed at 1200 °C for 4 h to achieve a fully recrystallized coarse-grained microstructure optimal for high-temperature applications. The cyclic tests were carried out in controlled deformation mode in a symmetrical push-pull cycle with triangular waveform at 1000 °C and 1200 °C in air. The Fe-14Cr-10Al-4Y2O3 ODS steel exhibits extraordinary cyclic strength of up to 140 MPa at temperature of 1200 °C. The results show that rotary swaging to a smaller diameter does not affect the resulting stress-strain response. The coarsening of the Y2O3 nanoparticles occurs only very slowly even at 1200 °C. In areas with significant plastic deformation, a slight rotation of the coarse grains from the ideal [111] direction and partial dynamic recrystallization was observed.