Laser Powder Bed Fusion (L-PBF) is bearing the potential to generate new functionally graded microstructures (FGMi) whose properties are tailored regarding specific applications. However, locally altering the process parameters in order to create such microstructures can easily compromise the relative mass density and therefore the performance of a material. This work presents and investigates in situ heat treatments by double exposure in order to realize FGMi. The results show an increased parameter flexibility without compromising the relative mass density, when compared to a single exposure of the investigated low-alloy steel 30CrMoNb5-2. The systematic investigation regarding the impact of process parameters enables microstructures in the hardness range from approx. 380–510 HV10. Especially, the introduction of cooling breaks between single exposure tracks increases the hardness of the microstructure. Tensile tests show an increase in UTS by 21.3%, when comparing the results with a nonin situ heat treated sample (single exposure). A homogeneously in situ heat treated sample as well as both discrete and continuously graded samples demonstrate the potential of the novel method. Consequently, the presented double exposure approach for in situ heat treatments is offering a new flexibility regarding the creation of FGMi by L-PBF and will therefore support the development of future high-performance materials.