The 17Cr–9Ni–3Mo precipitation hardened (PH) steel was processed after re-melting using different cooling rates including copper plate chilling and the melt-spinning. The effect of different cooling rates and the sub-zero treatment on the microstructure of the 17Cr–9Ni–3Mo steel was studied. The microstructure and the phase composition of the steel was investigated using light microscopy (LM), scanning electron microscopy (SEM) and energy dispersive spectrometry (EDS), transmission electron microscopy (TEM), the X-ray diffraction (XRD) and Mössbauer spectroscopy. The results show that the microstructure of 17Cr–9Ni–3Mo steel after rapid solidification consists of austenite and δ-ferrite. The quantity of austenite increases with the increase of cooling rate. Sub-zero treatment of the samples cooled at the rate of 4 × 104 K/s and 2 × 105 K/s reduces the quantity of austenite as a result of austenite → martensite transformation. For the samples cooled at the rate of 2 × 106 K/s the quantity of austenite in the microstructure does not change when compared to the state before and after sub-zero treatment. The model for the formation of microstructures during rapid cooling was proposed.