The transformation of inclusions in a heavy rail steel during heating is investigated in laboratory experiments. When the steel is heated at 1000–1300 °C, inclusions of CaO–SiO2–Al2O3–MgO are transformed into CaS–MgO·Al2O3 ones and the contents of CaS and Al2O3 in inclusions increase, whereas those of CaO and SiO2 decrease. When the steel is heated at 1400 °C, the MgO·Al2O3 phase in inclusions precipitates, whereas CaS, CaO, and SiO2 still exist, which is caused by the lower thermodynamic driving force at high temperature. With the holding time increasing from 0 to 7 h, the composition of inclusions tends to the equilibrium value which is predicted using Factsage. The transformation phenomenon is validated using thermodynamic analysis and a kinetic model is established to predict the composition of inclusions during heating. The MgO·Al2O3 phase formed in inclusions in the steel during heating results in an exposure of MgO·Al2O3 spinel inclusions after rolling, which are rigid and harmful to the performance of steel rails.