High temperature phase transformations in EUROFER reduced activation ferritic martensitic (RAFM) steel were studied in-situ by means of X-ray diffraction. Results show that, during slow cooling, the austenite to ferrite transformation takes place around 755 oC. Full transformation of the austenitic phase into pure martensite is observed for cooling above 5 oC/min. This transformation was found in samples annealed at 950 oC for 3 h and quenched in liquid nitrogen. TEM analyses reveal a high concentration of carbides along the grain boundaries of the martensitic structure. The thermal expansion coefficient derived from the measurements was 12.7x10-6 K-1.