The microstructure mechanisms and mechanical properties of 0.23C-1.96Si-1.94Cr-1.93 Mn-0.35 Mo ultra-high strength steel treated by the deep cryogenic treatment at −196 °C were investigated after the steel was hot rolled at different temperatures. Experimental results show that austenitizing zone rolling with a large reduction in a single pass can comprehensively enhance the mechanical properties due to the high volume of retained austenite and refined lath martensite and bainite. The high strain gradient was suppressed, and tensile strength, yield strength, impact toughness, and total elongation were 2221 MPa, 2017 MPa, 65.5 J, and 16.9%, respectively. In addition, the austenitizing zone rolling can promote the formation of film retained austenite more than dual phase zone rolling, and retained austenite was decreased with an increase in rolling pass in a total rolling reduction of 75%. It is demonstrated that deep cryogenic treatment after austenite zone rolling with a large reduction is the proper method to enhance strength and toughness via refinement strengthening and retained austenite. This work not only reveals that the effects of refinement strengthening and high strain gradients can be markedly improved by deep cryogenic treatment after austenitizing zone rolling with large reduction strategies, but also provides a realistic preparation technology for the exploitation of superior steel applications.