Rolling and annealing are important processes for the fabrication of zirconium alloy sheets. Herein, the microstructure and mechanical properties of a commercial pure zirconium during rolling and annealing at different temperatures are investigated. Compared with rolling at room temperature (RT), liquid nitrogen temperature (LNT) rolling will cause more inhomogeneous deformation and higher dislocation density, which significantly influences the subsequent annealing. For a given rolling reduction, the higher dislocation density in the LNT‐rolled specimen causes faster recovery and recrystallization and leads to larger average grain size in subsequent annealing compared with that in the RT‐rolled specimen. The inhomogeneous grain size may be attributed to the nonuniform deformation in the LNT rolling. Compared with RT rolling, higher yield strength is obtained in the LNT‐rolled specimen, which is caused by the suppression of dynamic recovery in low‐temperature deformation. With higher strength, the elongation of the LNT‐rolled specimen is not lower than that in the RT‐rolled specimen, which may be related to the inhomogeneous microstructure‐induced extra work‐hardening capability.