Dual phase steels combine very good corrosion resistance with relatively high values of mechanical properties. In addition, they can maintain good plastic properties and toughness at both room temperature and lower temperatures as well. Despite all the advantages mentioned above, their utility properties can be reduced by technological processing, especially by the application of the temperature cycles. As a result, in the material remain residual stresses with local stress peaks, which are quite problematic especially during cyclic loading. Moreover, determining the level and especially the distribution of such residual stresses is very difficult for duplex steels both due to the structure duality and in light of the very small width of the heat-affected zone (HAZ). This is why the paper presents the possibilities of using physical simulations to study the effect of temperature cycles in residual stresses’ magnitude and distribution, where it is possible to study the HAZ in more detail as well as on a much larger sample width due to the utilization of special samples. In the thermal–mechanical simulator Gleeble 3500, temperature-stress cycles were applied to testing samples, generating stress fields with local peaks in the testing samples. In addition, the supplied steel X2CrMnNiN21-5-1 had different phase rations in the individual directions. Therefore, as the residual stresses were measured in several directions and at the same time, it was possible to safely confirm the suitability of the used measurement method. Moreover, the effect of the stress and strain on the change of partial phases’ ratios was observed. It has been experimentally confirmed that annealing temperatures of at least 700 °C are required to eliminate local stress peaks after welding. However, an annealing temperature of 550 °C seems to be optimal to maintain sufficient mechanical properties.