The low‐density duplex steels provide a potential for the industrial application owing to their good strength‐ductility match and reduced density. In the present work, the microstructure of an Fe–8.03Mn–6.10Al–0.4C (wt%) low‐density duplex steel was adjusted by controlling the cooling path after hot rolling, which is a conventional process during the production of steel sheets and strips. A microstructure of ferrite and austenite has been achieved by annealing the air‐cooled samples, and the microstructure of furnace‐cooled annealed samples consists of banded ferrite, austenite, and martensite. This is mainly due to the fact that the austenite is more stable by refining the grain size via embedding the needle‐like α‐ferrite. The existing of martensite and the banded microstructure in furnace‐cooled annealed samples induces the occurrence of cracks during deformation, resulting in an abrupt fracture at a relatively lower strain level. However, for air‐cooled annealed samples, a good ductility of duplex microstructure ensures that the deformation can be sustained up to a much higher strain level, and the transformation induced plasticity effect plays a positive role at the later deformation stage; this contributes to the occurrence of an extra work hardening rate recovery during deformation and thus to a good strength‐ductility match.