Effect of annealing treatment in a temperature range of 850-1050℃ on the evolution of microstructure involved with austenite, ferrite and carbides etc., as well as the mechanical properties and fracture behavior was studied for a cold rolled Fe-Mn-Al-C low density steel. The results show that the experimental steel annealed at 850℃ exhibits a complex microstructure consisted of austenite, banded d-ferrite, a-ferrite and small amount of carbides; there also existed intercrystalline network of ferrite and carbides which resulted in higher strength and poor plasticity, thus the steel becomes susceptible to cleavage fracture; the steel annealed at 900-1050℃ consisted of recrystallized austenite as matrix, in which the volume fraction of a-ferrite decreased with the increasing temperature, while the band like d-ferrite was crushed into islets and distributed in the matrix discontinuously; as the growth of d-ferrite was more obvious than that of austenite, larger volume fraction of ferrite did occur, which resulted in high intensity of X-ray diffraction peaks of ferrite; the microstructure evolution during annealing lead to decrease of tensile strength and increase of total elongation with the increasing temperature; the experimental steel annealed at 1000℃ exhibits excellent combination of strength and ductility: i.e. tensile strength 1003.1 MPa, total elongation 41.28% and product of strength with ductility 41.4 GPa%. Therefore, to acquire the optimal combination of strength and ductility, the cold-rolled Fe-Mn-Al-C steel should be annealed at temperatures above 950℃. Furthermore, the measured density of 6.55 gcm^-3 ensures this kind of ultra-high strength steel a remarkable weight reduction effect of 16.6%.