FeCrAlY alloys are widely used as thin‐gauge catalyst carriers for automotive exhaust gas purification. However, they exhibit low ductility due to coarse Fe–Y phases in the alloys, which decreases the carrier yield. To improve the plasticity of the alloys, a novel method for fabricating FeCrAlY alloys using twin‐roll strip casting (TRSC) is proposed. It is found that the plasticity of the FeCrAlY alloy is significantly improved by TRSC compared to conventional ingot casting. Then, to understand the mechanism of plasticity improvement, the microstructures of the alloys are investigated. The Fe–Y phases and grains are significantly refined by TRSC due to its characteristics of subrapid solidification. In addition, the TRSC samples produce several low‐Σ coincidence site lattice (CSL) boundaries, and some of these CSL grain boundaries are inherited by the cold‐rolled sheets. The impact characteristic of steel liquid in the TRSC is the major reason for the formation of CSL grain boundaries. The finer microstructure and greater number of low‐Σ CSL boundaries in the TRSC samples result in strong resistance to fracture, which improves the plasticity of the FeCrAl alloys.