During the past thirty years, two generations of low alloy steels (ferrite/pearlite followed by bainite/martensite) have been developed and widely used in structural applications. The third-generation of low alloy steels is expected to achieve high strength and improved ductility and toughness, while satisfying the new demands for weight reduction, greenness, and safety. This paper reviews recent progress in the development of third-generation low alloy steels with an M3 microstructure, namely, microstructures with multi-phase, meta-stable austenite, and multi-scale precipitates. The review summarizes the alloy designs and processing routes of microstructure control, and the mechanical properties of the alloys. The stabilization of retained austenite in low alloy steels is especially emphasized. Multi-scale nano-precipitates, including carbides of microal-loying elements and Cu-rich precipitates obtained in third-generation low alloy steels, are then introduced. The structure–property relationships of third-generation alloys are also discussed. Finally, the promises and challenges to future applications are explored.