The critical point and the continuous cooling transformation test with cooling rate of 0.02–40 °C/s of Fe-14Cr-4Mo-13Co alloy were carried out by DIL805A quenching dilatometer with expansion method. The static CCT curve was drawn, and the microstructure and micro-Vickers hardness at room temperature were analyzed. The effect of cooling rate on the microstructure and hardness of Fe-14Cr-4Mo-13Co alloy at 1150 °C austenitizing temperature was studied. The results show that the critical points Ac1 and Accm of Fe-14Cr-4Mo-13Co alloy are 655 °C and 738 °C, respectively. In the process of continuous cooling, only martensitic transformation occurs at different cooling rates, and the starting point of martensitic transformation decreases with the increase of cooling rate. Fe-14Cr-4Mo-13Co alloy has a maximum microhardness of 446 HV at a cooling rate of 1.6 °C/s. The microstructure of hot-rolled Fe-14Cr-4Mo-13Co alloy transitions to martensite with visible lath martensite upon oil quenching at 1080 °C, and subsequent high-temperature tempering, which influences mechanical properties, leads to martensite decomposition, increased carbide content, reduced residual austenite, and peak tensile strength of 1556 MPa after two tempering cycles.