It is a great challenge to prepare Pb(Mg1/3Nb2/3)O3–PbTiO3 (PMN-PT) ceramics of very high transparency with only oxygen atmosphere pressureless sintering process. To address this issue, this work proposed an optimal low-cost two-step oxygen atmosphere sintering process with a first step at high temperature (T1) for minutes, followed by a second step at lower temperature (T2) for hours without applied pressure. High transmittance of 70 % in the near-infrared wavelength was achieved by our novel two-step process, which far exceeds the performance of PMN–PT ceramics prepared by only oxygen atmosphere sintering process reported in the past and demonstrates comparable performance compared to the costly hot-pressing sintering process. Meanwhile, it shows a high quadratic electro-optic (EO) coefficient of 42.1 × 10−16 m2 V−2, which is meaningful for applications in EO devices. Furthermore, the effect of the temperature difference between the first and second sintering step on the microstructure, transmittance, domain structure, ferroelectric and dielectric property, and polarization switching were discussed. The enhanced transparency is mainly attributed to the higher relative density, and weaker photoluminescence effect with lesser light absorption loss at optimal T1-T2. The improved EO property is due to greater polarization response originating from the interaction of defect dipoles and nanodomains. Such a process should facilitate the cost-effective preparation of other transparent electro-optic materials for practical applications.