15Mo3 heat resistant steel specimens were subjected to cyclic heating-cooling process meanwhile the deformation was restricted. The number of thermal cycles modeled the different lifetimes of the samples. After the above mentioned loading, samples were investigated by scanning electron microscope (SEM), transmission electron microscope (TEM) and electron back scattering diffraction (EBSD). Results showed that at the beginning of the process several sub-grains were formed because of the large number of dislocations initially present in the material. Carbides pinned these dislocations, therefore sub-grain boundaries could not move, but instead, more and more dislocation piled up at them. Finally the angle difference between sub-grains reached a critical value and the metallographic grain size seemed to decrease. These results help us to understand more about the thermal fatigue process and to develop more accurate residual life assessment methods.