Microstructure and mechanical properties of steel 20Kh2G2SNMA after thermal treatment were investigated. The treatment included cooling at different rates starting from the austenitization temperature. Decrease in the cooling rate 100 times was shown to decrease the strength of steel only slightly; impact elasticity in this case decreases 2.5 times due to formation of bainite. Kinetics of the isothermal bainite transformation and of the martensite formation during continuous cooling of the investigated steel was studied by dilatometry. Parameters of the Austin–Ricket equation, which describes the experimental dependence of the bainite fraction on the exposition time at different temperatures, were found. Coefficients of the Koistinen–Marburger equation, which describes formation of martensite upon cooling, were also defined. A mathematical model for evaluating the microstructure formation upon continuous cooling of steel 20Kh2G2SNMA was developed.