Microstructures of casting samples of Fe–9%Cr steel and samples subjected to different heat treatments were investigated to determine their formation and evolution mechanism. The results show that there is no macroscopic segregation in the casting Fe–9%Cr steel. During cooling from solidification temperature to room temperature, δ-ferrite → austenite transformation is obviously influenced by cooling rate, while subsequent transformation of austenite does not obviously depend on the cooling rate. In the casting samples, a great number of precipitates distribute inside martensitic laths while there are almost no precipitates inside δ-ferrite. When the casting samples were reheated to and isothermally held at 800 °C, the original precipitates and the lath boundaries disappeared gradually. Meanwhile, new precipitates nucleate and grow at the prior lath boundaries.