The aim of this study is to investigate the relationship between build orientation, heat treatment, microstructure, and mechanical properties of AISI 420 martensitic stainless steel fabricated by selective laser melting (SLM). Tensile specimens are directly built by SLM in the directions perpendicular and parallel to the loading direction of the tensile test. Heat treatments at 200 and 400 °C are conducted to study the tempering effect. The difference in the residual stress and hardness distributions between the two build directions is noticeable. The parallel group exhibits better strength and ductility than the perpendicular group in both as-built and tempered states. Typical brittle fracture pattern is visible in the as-built state while a combination of primarily brittle and secondarily ductile fracture features is seen in the tempered conditions. Both as-built and tempered SLM builds exhibit elongated cellular structures growing along the build direction. The directional microstructure is responsible for the anisotropic tensile properties. A larger amount of martensite exists in the parallel group than does in the perpendicular group. The anisotropic tensile strength of SLM AISI 420 build could be improved to a certain extent by the given tempering treatments, while the elongation exhibits an opposite trend.