In this study, the effects of laser volumetric energy density (η) on the metallurgical defect behavior and microstructure evolution of H13 die steel fabricated by selective laser melting (SLM) additive manufacturing are systematically studied, and underlying thermal mechanisms are revealed. The results indicate that the metallurgical defect behavior is significantly affected by the applied η, which is controlled by laser power P and scanning speed v. With increasing P or decreasing v, η increases, the metallurgical defects such as pores and poor fusion initially decrease and then increase, and the density initially increases and then decreases. The typical microstructures induced by SLM are columnar dendrites and equiaxed dendrites. Their growth direction, distribution, and size at different positions in the molten pool are quite different. The size of the columnar crystals with directional full growth is highly correlated with the applied η. As the applied η increases, the length and diameter of the columnar crystals increase, but grains with nonuniform distribution are obtained under a higher η of 122.22 J mm−3. Under the optimized η of 111.11 J mm−3 (P = 200 W, v = 1000 mm/s), the H13 die steel samples fabricated by SLM are near-fully dense and have almost no metallurgical defects (the density reaches 99.13%), and the dense columnar crystals with uniform distribution are obtained. This study may provide a theoretical and experimental basis for the design and optimization of SLM processing parameters and the reliable fabrication of SLM-processed parts with controlled defects and microstructures.