The effects of finishing rolling temperature on the microstructure and mechanical properties of a direct quenched and partitioned (DQ&P) steel were investigated by a thermal simulation machine, a field emission scanning electron microscope (FE-SEM), electron backscattering diffraction (EBSD), and a transmission electron microscope (TEM). The results show that the original austenite grain size was refined by 31% as the finishing rolling temperature decreased from 920 °C to 840 °C, leading to the formation of the finest martensite lath at 840 °C. At the same time, the lower finishing rolling temperature resulted in a higher dislocation density, and consequently improved the stability of the retained austenite. Moreover, compared to the conventional Q&P process, the comprehensive mechanical properties of a steel with similar chemical composition can be enhanced by DQ&P processing. With the decrease of finishing rolling temperature from 920 °C to 840 °C, the strength and total elongation increases. The yield strength, tensile strength, and total elongation reach the maximum values of 1121 MPa, 1134 MPa, and 11.7%, respectively, at 840 °C.