This paper presents the results of research dealing with assessing the welding effect (temperature–stress cycles) on the residual stresses in these steels. Residual stresses, remaining in the material after technological processing, pose a risk, especially at the areas of local stress peaks. During the real welding, residual stresses achieve their highest values in the heat-affected zone (HAZ), which is very narrow and therefore quite problematic to be studied in detail. Therefore, a methodology of temperature–stress physical simulations has been developed to study residual stresses in the HAZ over a 6.5 times larger section of the test sample. Thus, temperature cycles corresponding to the real welding were applied to the samples in the thermo-mechanical simulator, Gleeble 3500. Subsequently, the residual stresses were determined by the X-ray diffraction method. At the same time, the influence of annealing temperature on the residual stress reduction and redistribution was also investigated. Obtained results were compared and discussed with the similar studies about HSLA and duplex steels.