The advanced lamellar microstructure significantly improves the toughness of Cu-bearing ultra-high strength steel by delamination toughening (yield strength: 1370 MPa, impact toughness at −40 °C: 60 J). The lamellar microstructure affects the microstructure evolution of heat-affected zone (HAZ), resulting in separate distributions of lath martensite and granular bainite in the complete austenitizing zone and the formation of cluster fresh martensite in the partial austenitizing zone. The grain refinement and decrease in dislocation density are predominant features, especially for the complete austenitizing zone, where the grain is refined to 4.33 μm, and dislocation density is decreased by 27%. With the degree of austenitizing increase, the dissolution of Cu-rich precipitates (CRPs) aggravates during welding. A small fraction of CRPs in the complete austenitizing zone implies the onset of reprecipitation of CRPs. The reason for softening in HAZ is attributed to a combined effect of granular bainite forming, dislocation density decreasing, and CRPs dissolving. After PWTH, large numbered reprecipitation of coherent CRPs occurs, contributing to the hardness recovery of HAZ. Meanwhile, due to the high density of dislocation of lamellar microstructure inherited by partial austenitizing zone, coarsening of coherent CRPs is easy to occur, and various incoherent structures are observed.