The copper precipitation associated with austenite–ferrite transformation in a continuously cooled multicomponent steel was examined by atom probe tomography. During continuous cooling, carbon and austenite stabilizers such as nickel, manganese, and copper were prone to diffuse into the untransformed austenite and changed the solute enrichment in austenite and its decomposition process. The redistribution of alloying elements between newly formed ferrite and untransformed austenite led to the appearance of a variety of structural components of ferrite, bainite, martensite, and/or retained austenite in the microstructure. The solutes partitioning behaviors at the migrating ferrite/austenite heterophase interface had a great effect on the nature of copper precipitation. At a cooling rate of 0.1 °C/s, the transition bcc copper precipitate was considered to first nucleate by interphase precipitation and then grow after being embedded within ferrite. The situation of the actual nucleation of carbide in ferrite had a significant effect on the size and composition of copper precipitates, as well as the segregation behaviors of nickel and manganese at copper/matrix heterophase interface.