Two different zirconium contents (0.45 and 0.60 wt.%) have been incorporated into a Fe-14Cr-5Al-3W-0.4Ti-0.25Y2O3 oxide dispersion-strengthened (ODS) steel in order to evaluate their effect on the final microstructure and mechanical properties. The powders with the targeted compositions were obtained by mechanical alloying (MA), and subsequently processed by spark plasma sintering (SPS) at two different heating rates: 100 and 400 °C·min−1. Non-textured bimodal microstructures composed of micrometric and ultrafine grains were obtained. The increase in Zr content led to a higher percentage of Zr nano-oxides and larger regions of ultrafine grains. These ultrafine grains also seem to be promoted by higher heating rates. The effective pinning of the dislocations by the Zr dispersoids, and the refining of the microstructure, have significantly increased the strength exhibited by the ODS steels during the small punch tests, even at high temperatures (500 °C).