A variant of conventional laser material deposition (LMD), extreme high-speed laser material deposition (German acronym: EHLA) is characterized by elevated process speeds of up to 200 m/min, increased cooling rates, and a significantly reduced heat affected zone. This study focuses on the feasibility of using EHLA to apply material onto Fe-based substrate materials with AISI 4340 as a filler material. We studied how three different build-up strategies—consisting of one, three, and five consecutive deposited layers and hence, different thermal evolutions of the build-up volume—influence the metallurgical characteristics such as microstructure, porosity, hardness, and static mechanical properties. We propose a thermo-metallurgical scheme to help understand the effects of the build-up strategy and the thermal evolution on the microstructure and hardness. The tensile strength of the build-up volume was determined and is higher than the ones of forged AISI 4340 material.