Aimed at evaluating the effectiveness of Zr and Hf additions on oxide particle refinement and tensile strength improvement of transformable oxide dispersion strengthened (ODS) steels, 9Cr–Zr and 9Cr–Hf ODS martensitic steels were fabricated by mechanical milling, spark plasma sintering and tempering heat treatment at 800 °C. The as-sintered 9Cr–Zr steel consisted of martensite and certain amount of transformed ferrite with M23C6 (M = Fe, Cr) precipites within ferrite interior. With respect to the as-sintered 9Cr–Hf steel, the microstructure consisted of martensite and small amount of residual ferrite. The residual ferrite is characteristics of higher number density of oxide nanoparticles than those in martensite. The added Zr or Hf cannot transform all Y2O3 into Y–Zr–O or Y-Hf-O complex oxides. Except for Y2O3, ZrO2 and Y4Zr3O12 were identified in 9Cr–Zr steel, and YxHfyOz and Y2H2O7 were found in 9Cr–Hf steel. The orientation relationship and interface structure between Y–Zr–O/Y-Hf-O and the matrix were studied in detail, as well as the size distributions of oxide nanoparticles in both as-sintered and tempered conditions. Tempering is mandatory to restore ductility of martensitic steels. The tensile strength of tempered 9Cr–Hf steel is superior to most reported results, while the tempered 9Cr–Zr steel exhibits a good combination of tensile strength and ductility. The ferrite phase in both tempered 9Cr–Zr and 9Cr–Hf steels has negligible effects on ductility degradation. The inferior strength of high-angle boundaries to tempered martensite itself is suggested to be responsible for limited ductility of steels. Compared to Al and Ti constituents, Zr and Hf can be considered as potential microalloying elements to produce ODS steels with favorable mechanical performance.