Oxide Dispersion Strengthened (ODS) ferritic steels are promising materials for the nuclear power sector. This paper presents the results of a study on the sintering process using the Spark Plasma Sintering (SPS) technique, focusing on ODS ferritic steel powders with different contents (0.3 and 0.6 vol.%) of Y2O3. The novelty lies in the analysis of the effect of pre-annealing treatment on powders previously prepared by mechanical alloying on the microstructure, mechanical, and thermal properties of the sinters. Using the SPS method, it was possible to obtain well-densified sinters with a relative density above 98%. Pre-annealing the powders resulted in an increase in the relative density of the sinters and a slight increase in their thermal conductivity. The use of low electron energies during SEM analysis allowed for a fairly good visualization of the reinforcing oxides uniformly dispersed in the matrix. Analysis of the Mössbauer spectroscopy results revealed that pre-annealing induces local atomic rearrangements within the solid solution. In addition, there was an additional spectral component, indicating the formation of a Cr-based paramagnetic phase. The ODS material with a higher Y2O3 content showed increased Vickers hardness values, as well as increased Young’s modulus and nanohardness, as determined by nanoindentation tests.