An as-cast alumina-forming austenitic (AFA) steel was directly cold rolled. The microstructure was characterized by electron backscatter imaging and electron backscatter diffraction techniques. Results show that the as-cast AFA steel exhibits excellent cold-rolling deformation ability. With increasing rolling deformation, the content of δ-ferrite/α′-martensite increases, and the proportion of low-angle boundaries (LABs) in δ-ferrite/α′-martensite and austenite increases greatly. In contrast, the number of twins in the austenite matrix decreases significantly. The microhardness and tensile strength of the AFA steel increase significantly. The increase in hardness and tensile strength is mainly attributed to the increase of martensite, the grain refinement of austenite, and the increase of LABs content in austenite and δ-ferrite/α′-martensite.