The selective laser melting (SLM) technology is used to obtain the 24CrNiMo alloy steel for studying the influence of the laser scanning process parameters on its microstructure, relative density, hardness, and tensile properties. The results demonstrate that the microstructure of the SLM-formed alloy steel comprises tempered martensite and a small amount of retained austenite. The molten pool volume increases, whereas the cooling rate decreases with increasing laser power and decreasing laser scanning speed, resulting in the coarsening of the tempered martensite lath and the widening of the heat affected zone; further, the microhardness of the steel is observed to decrease. Meanwhile, the pores induced by the non-melted particle decrease, improving the relative density. The highest relative density of 99.93% can be obtained when the laser power and scanning speed are 320 W and 750 mm/s, respectively. When the laser power is 320 W and scanning speed is 950 mm/s, the SLM-formed alloy steel exhibits optimal tensile properties, its tensile strength and yield strength are 1362 MPa and 1252 MPa, respectively, and its elongation is 16.2%. Under reasonable SLM parameters, the comprehensive mechanical properties of the 24CrNiMo alloy steel formed via SLM are significantly better than those of the as-cast steel.