The determination of microstructural details for powder materials is vital for facilitating their selective laser melting (SLM) process. Four widely used steels (316L, H13, P20 and 18Ni300) have been investigated to detail their powders’ microstructures as well as laser absorptivity to understand their SLM processing from raw material perspective. Phase components of these four steel powders were characterized by X-ray diffraction (XRD), synchrotron radiation X-ray diffraction (SR-XRD) and scanning electron microscopy (SEM). X-ray photoelectron spectroscopy (XPS) and transmission electron microscopy (TEM) were utilized to reveal the surface structure of these four steel powders. It is found that phase components of H13, P20 and 18Ni300 are mainly composed of martensite and a small amount of austenite due to the high cooling rate during gas atomization processing, while 316L is characterized by austenite. XPS results show that the four steel powders all possess a layered surface structure, consisting of a thin iron oxide layer at the outmost surface and metal matrix at the inner surface. It is found that the presence of such oxide layer can improve the absorptivity of steel powders and is beneficial for their SLM process.