The microstructure evolution of SCM435 cold heading steel at different cooling rates was investigated by means of scanning electron microscopy, TEM, XRD, and electron backscatter diffraction. The results show that the cooling rate has a significant effect on the microstructure of the experimental steel. With an acceleration of the cooling, the microstructure of the steel gradually changed from ferrite and pearlite to ferrite, pearlite, and granular bainite; finally, the pearlite disappeared, and the microstructure changed to acicular ferrite, bainite, and martensite. With an increase in the cooling rate, the morphology of the carbide underwent an evolution from sheet carbide to short-rod carbide, granular carbide, and ultimately thin-strip carbide. With the acceleration of cooling, the proportion of large-angle grain boundaries gradually decreased, and the area of small-angle grain boundaries gradually increased. When the cooling rate was 0.1℃/s, the proportion of large-angle grain boundaries was as high as 52.8%, and the dislocation density was only 1.91 × 1012 cm−2. When the cooling rate was 2.0℃/s, the proportion of large-angle grain boundaries was only 27.1%, and dislocation density increased to 5.38 × 1012 cm−2. With the increase in the cooling rate, the depth of the decarbonization layer and the thickness of the scale oxide gradually decreased, the proportion of FeO phase in the scale phase gradually decreased, and the proportion of Fe3O4 phase and Fe2O3 phase gradually increased. The tensile strength increased monotonously with the increase in cooling rate, whereas the elongation and shrinkage first decreased, then increased, and then decreased. When the cooling rate was 1.0 m/s, the short rod and granular bainite in the material structure endowed the SCM435 steel with excellent strength and toughness matching, and the tensile strength and elongation of the steel reached 895 MPa and 24%, respectively.