17-4PH martensitic steel is usually used as valve stems in nuclear power plants and it suffers from thermal aging embrittlement due to long-time service in a high-temperature and high-pressure environment. Here, we characterized the evolution of microstructures at the nano-scale in 17-4PH steel by in situ small-angle neutron scattering (SANS) with a thermo-mechanically coupled loading device. The device could set different temperatures and tensile so that an in situ SANS experiment could dynamically characterize the process of nanoscale structural changes. The results showed that with increasing thermal aging time, the ε-Cu phase precipitates and grows as the temperature is 475 °C and 590 °C, and the ε-Cu phase is spherical at 475 °C but became elongated cylinders at 590 °C. Moreover, the loading stress could aid in the growth of the ε-Cu phase at 475 °C.