The evolution of austenite, acicular ferrite, upper bainite and martensite, and the nucleation of inclusions in the microstructure of high-strength steel deposited metals, was systematically investigated using three kinds of A5.28 E120C-K4 metal-cored wires with various rare earth Pr contents. Grain structure evolution in the process of high temperature, dispersoid characteristics of inclusions and the crystallographic characteristics of the microstructure were assessed. Compared with no addition of Pr6O11, adding 1%Pr6O11 resulted in refined, spheroidized and dispersed inclusions in the deposited metal, leading to an increase in the pinning forces on the grain boundary movement, promoting the formation of an ultra-fine grain structure with an average diameter of 41 μm. The inclusions in the deposited metals were Mn-Si-Pr-Al-Ti-O after Pr addition; the average size of the inclusions in the Pr-containing deposited metals was the smallest, while the number and density of inclusions was the highest. The size of effective inclusions (nucleus of acicular ferrite formation) was mainly in the range of 0.6–1.5 μm. In addition, the content of upper bainite decreased, while the percentage of acicular ferrite increased by 24% due to the increase in the number of effective inclusions in the Pr-containing deposited metals in this study. This study shows that the addition of 1% Pr6O11 is efficient in achieving fine interlaced multiphase with an ultrafine-grained structure, resulting in an enhancement of the impact toughness of the deposited metal.