The microstructural heterogeneity and heat-treatment response of wire arc additively manufactured (WAAM) ER410 martensitic stainless steel were systematically investigated. The as-built microstructure consisted mainly of α′-martensite and retained δ-ferrite, whose morphology and fraction varied significantly along the build direction. The retained δ-ferrite evolved from blocky morphology in the bottom region to vermicular morphology in the middle region and finally to coarse columnar morphology in the top region, while its fraction first decreased from 16.5% to 3.3% and then increased to 19.7% along the build direction. DICTRA simulations based on thermal cycles further revealed that this heterogeneity was governed by the combined effects of local thermal history, initial δ-ferrite morphology, and diffusion-controlled δ→γ transformation kinetics. EBSD analysis showed pronounced CP2/CP3-dominated martensite variant selection in the top region, which was closely associated with coarse columnar prior austenite morphology and anisotropic local stress conditions, whereas the bottom region exhibited a more dispersed variant distribution. After solution treatment, the retained secondary phases gradually dissolved and the microstructure became more homogeneous, accompanied by weakened martensite variant selection. The ultimate tensile strength increased from 663 MPa in the as-built condition to 1451 MPa after solution treatment at 1050 °C, while subsequent aging further improved the strength–ductility balance. The sample aged at 300 °C exhibited the best comprehensive mechanical properties.