Al–Mg–Sc–Zr alloy fabricated through selective laser melting (SLM) is an additive manufacturing alloy with promising industrial potential. In this study, as-printed specimens were subjected to either single-stage or two-stage heat treatment processes to investigate the effect of temperature from room temperature to high temperature on the specimens’ tensile and fatigue properties to establish a reliable reference for aerospace applications. The tensile test results indicated that the heat treatment contributed to determine the properties of the nanoprecipitate Al3(Sc, Zr) with a strengthening phase, improving tensile strength. Moreover, the dynamics strain aging (DSA) effect vanished as temperature increased. It is noteworthy that the nanoprecipitation was distributed at the boundary of the melting pool after single-stage heat treatment with the highest tensile properties in all tests. In addition, the microstructure observed after the two-stage heat treatment indicated a melting pool interface decomposition, and the nanoprecipitation was homogeneously scattered over the Al matrix, increasing strength and further delaying fatigue crack transmission. Those features build a high-fatigue-resistance foundation. TEM analysis also confirmed the promotion of Sc thermal diffusion and an Al3(Sc, Zr) precipitation transformation mechanism under two-stage heat treatment, corresponding to aforementioned inferences. The SLM Al–Mg–Sc–Zr alloy with two-stage heat treatment brings about balance between tensile properties and fatigue resistance, providing new insight into additive manufacturing with Al alloys.