The void formation and plastic deformation micromechanisms of a cold-rolled DP600 steel during tensile loading were studied by scanning electron microscopy (SEM) and electron backscatter diffraction (EBSD). The SEM observations revealed that the main void nucleation mechanism in the DP600 steel is decohesion at the ferrite–martensite interfaces. The voids were mostly observed between the closely spaced martensite islands situated at the boundaries of relatively finer ferrite grains. The EBSD results indicated a strain gradient developed from the ferrite–martensite and ferrite–ferrite interfaces into the interior of ferrite grains during the tensile deformation, which led to a stress concentration at these interfaces. Moreover, it was demonstrated that local misorientation inside the finer ferrite grains surrounded by martensite islands was higher than that for the coarser ferrite grains, which made the former more prone to void initiation.