This paper describes the results of an investigation into a microstructure formation on a wire-feed electron beam additive manufactured “steel–copper” bimetallic sample. The peculiarities of a gradient zone structure with a smooth change of components’ concentration are revealed. The heterogeneity of copper and steel distribution in the gradient zone is provided by copper solidification and precipitation mechanisms. Both solidification of coarse copper inclusions in the interdendrite areas or along the dendrite boundaries and precipitation of fine Cu-based particles at the cooling stage from the solid solution of Cu in γ-Fe are the main factors of structure formation during the double wire gradient zone deposition. The presence of such fine copper precipitates from the supersaturated solid solution was revealed by means of transmission electron microscopy. The shape of copper particles in the gradient zone varies from spherical to oblong and irregular. The shape of steel particles and/or grains is mainly determined by the peculiarities of the crystallization zone and is characterized by the primary crystallization of γ-iron dendrites from the liquid melt. A physical scheme describing a variation in phase composition and microstructure in gradient zone of the bimetallic specimen was proposed.