The physics of metallic glass local devitrification employing ultrafast laser irradiation is the cradle of complex phenomena that are still not understood despite its applicative potential in material processing for nanotechnology. This paper reports a theoretical simulation combining the two temperature model and classical molecular dynamics simulations to unravel the mechanisms that lead to the localized phase transition in Cu–Zr metallic glass. According to observations, the initial composition of amorphous samples plays an essential role, in addition to nonequilibrium thermodynamic processes caused by the laser energy deposition that alters the atomic environment. We further demonstrate that specific compositions devitrify despite its high glass-forming ability. The thermodynamic conditions fostering the emergence of a stable nanocrystalline phase are clearly established. The compressive pressure wave and the rapid heating process caused by ultrafast laser energy deposition synergistically contribute to disrupt the microstructure of the glass significantly, thereby initiating the devitrification process. Results are discussed using additional classical MD simulations that provide valuable insights for interpreting the distinct contributions of temperature and pressure to the phase transformation. Finally, the impact of the formed nanocrystals on the phononic thermal conductivity of the alloy is presented confirming the potential application of the laser-induced devitrification process for the development of a new generation of nanoarchitectured materials.