Micro-alloying in steels has significant effects on microstructure and its properties. The main objective of the work is to understand the influence of zirconium (Zr) addition to P9 ferritic/martensitic (F/M) steel on phase stability, microstructure, and nanomechanical properties. The alloy compositions in this study were designed using thermodynamic calculations, based on which steels with Zr concentration in the range of 0.05–2 wt.% were synthesized using vacuum arc melting. The cast alloy was subjected to thermo-mechanical treatments followed by austenitization and tempering treatments. Zr concentration of the steel was found to influence the nature of secondary phases formed, which were quantified through detailed synchrotron X-ray diffraction (XRD) analysis and also characterised extensively using electron microscopy techniques. Detailed structural analysis of the Fe23Zr6 phase using aberration corrected transmission electron microscopy is reported for the first time. The nano-mechanical properties of the heat-treated steels were evaluated using instrumented indentation tests at room temperature with a sphero-conical indenter. A systematic variation in hardness and yield strength with Zr content of P9 steel was observed, which is correlated to the microstructural changes. The P9 F/M steel with optimum concentration of Zr, with better mechanical properties is proposed through this structure-property correlation study.