The high-temperature oxidation behavior and oxidation mechanism of as-cast and cold-rolled (20%CR and 60%CR) AFA steels in dry air at 800°C were studied. The phase composition, morphology, microstructure, element distribution, and oxidation kinetics of oxidized steel were characterized and analyzed. The results show that the mass gains of both as-cast and cold-rolled samples increase rapidly within the first 100 h. During the subsequent long-term high-temperature oxidation process, the mass gains of as-cast and 60%CR samples slowly increase, while the mass gain of 20%CR AFA steel fluctuates greatly. The oxide layer comprises an outer oxide layer rich in (Fe,Cr) oxide and an inner oxide layer rich in Al2O3. The reduction in the oxidation resistance of AFA steel under small deformation is because defects such as dislocations introduced by deformation provide more channels for the diffusion of atoms, while the reason for the improvement under large deformation is that more δ-ferrite and precipitated B2-NiAl phase can promote the rapid formation of Al2O3 film and reduce further oxidation of the matrix. However, because of the formation of aluminum oxide film on the surface of the samples, both as-cast and cold-rolled AFA steels exhibit complete oxidation resistance at 800°C.