The integrated computational materials engineering (ICME) has achieved great success in accelerating the rational design and deployment of new materials. It is a new route of designing new materials and processes and highlighted by Materials Genome Initiative/Engineering that stresses the high‐throughput computation in addition to high‐throughput experimentation and materials informatics. This article presents a brief review on the basic theories and multi‐scale computational tools of ICME to design advanced steel grades, including the first‐principles calculations, the CALPHAD method (i.e., computational thermodynamics) fueled by dedicated databases, diffusion and phase‐field simulations, as well as finite analysis methods and machine learning. In the ICME scheme to deal with steels, the CALPHAD method is considered as the core to readily consider multi‐component systems and integrated to link the microscopic simulations (such as diffusion and phase field method to predict microstructure evolutions in response to external conditions) and macroscopic finite analysis method to deal with mechanical properties. Two applications are also presented to address the new routes to carry out materials design, especially for advanced steels.