Selective laser melting (SLM) has unique advantages in manufacturing oxide dispersion strengthened alloys due to its high cooling rate and tiny molten pool. In this study, the microstructure and mechanical properties of Inconel 625 alloy and Y2O3 strengthened Inconel 625 alloy prepared by SLM were investigated comparatively. The highest density for Y2O3/Inconel 625 specimen with a value of 99.6% was achieved when the laser volume energy density is around 145.8 J/mm3. Compared with Inconel 625 specimen, there presents a larger molten pool, finer grain structure, and weaker texture along the deposition direction in Y2O3/Inconel 625 specimen due to the active flux effect of Y2O3. During the heat treatment, the grain growth and annealing twin formation are inhibited in Y2O3/Inconel 625 specimen due to the pinning effect of Y2O3 particles. The yield strength of Inconel 625 specimen increases by 11.4%, 22.0%, and 12.5% at 20, 800, and 1100 °C, respectively, due to the dispersion strengthening and grain boundary strengthening induced by the addition of 0.48 wt % Y2O3 particles. In addition, the elongation of Y2O3/Inconel 625 specimen at high temperature is improved because of the contribution of Y2O3 to the strengthening and oxidation resistance of grain boundaries.