For exploring an effective heat treatment schedule to enhance the strength–plasticity balance of the ferrite–austenite 12CrNi2 alloy steel additively manufactured by directed energy deposition (DED), 12CrNi2 was heat-treated with deliberately designed direct quenching (DQ) and cyclic quenching (CQ), respectively, and the differently quenched steels were then tempered at a temperature from 200 °C to 500 °C. It was found that the CQ, in contrast to the DQ, led the 12CrNi2 to have significantly increased tensile strength without losing its plasticity, based on the introduction of fine-grained lath martensite and the {112}<111>-type nanotwins. The nanotwins were completely degenerated after the 200 °C tempering. This led the CQ-treated steel to decrease in not only its tensile strength, but also its plasticity. In addition, an interesting phenomenon observed was that the DQ-induced laths and rod-like precipitates, and the tempering-induced laths and rod-like precipitates were all prone to be generated along the {112} planes of the martensitic crystal (α-Fe), which were exactly fitted with the {112}-type crystalline orientation of the long or short nanotwins in the CQ-induced martensite. The quenching–tempering-induced generation of the {112}-orientated laths and rod-like precipitates was explicated in connection with the {112}<111>-type long or short nanotwins in the CQ-induced lath martensite.