The particles and microstructural characteristics in the simulated heat‐affected zone (HAZ) of the Al–Ti deoxidized steel with 0.05% Ce treatment are investigated using in situ, optical, and electron microscopes and an electron backscattered diffraction analysis, and compared with the Al–Ti deoxidized steel with Ca treatment. The results reveal that the fine CeAlO3 inclusions and nanoscale (Ti, Nb)N precipitates are formed in the Ce‐bearing steel instead of the Ca–Al oxides surrounded by TiN and nanoscale (Ti, Nb)N precipitates in the Ca‐bearing steel. The nanoscale precipitates with higher density in the Ce‐bearing steel can effectively pin austenite grain boundary, and the finer austenite grain is obtained during the welding thermal cycle. The inclusions in both steels are detrimental to the acicular ferrite nucleation. Thus, the transformation from austenite to bainite occurs actively, and bainite packets with different lengthening directions divide the prior austenite into several small regions at intermediate temperature. The fine‐grained microstructure is obtained in the simulated HAZ of the Ce‐bearing steel due to the pinning effect of finer precipitates with higher density and the formation of the bainite packets with high‐angle grain boundary.