Steel slag, as a potentially active gelling material, has not been widely used in the field of building materials. The effective utilization of steel slag depends on its stability, which is related to the cooling process with phases changing. The relation between cooling method and the phases and stability of steel slag were carried out in the present study. The slags were first melted into liquid state at 1873 K and were then cooled using four cooling methods, namely, as-furnace cooling, air cooling, mist cooling and water quenching. The cooled slags were characterized by XRD, SEM, and chemical analysis. The results show that the slags under the four cooling methods mainly contained Ca2SiO4 (C2S), Ca2SiO4–Ca3P2O8 solid solution (C2SP), Ca3SiO5 (C3S), monoxide solid solution (RO), Ca2Fe2O5 (C2F), and f-CaO. The content of Ca3SiO5 in steel slag increased with the increase of cooling rate. Rapid cooling could reduce the content of RO phase in steel slag, and the content of RO phase for the furnace cooling, air cooling, mist cooling, and water quenching samples were 28.03%, 22.53%, 14.17%, and 13.30%, respectively. In addition, rapid cooling could effectively reduce the content of f-CaO in steel slag and improve the stability of steel slag.