The microstructure evolution of eutectoid steel with lamellar pearlite was investigated by SEM and TEM during ultra-high strain rate loading. The results indicate that ultrafine microduplex structure (ferrite + cementite) with the grain size to sub-micrometer level was observed at the surface of eutectoid steel after single pass ultra-high strain rate loading. Equiaxed ferrite grain was about 0.8 μm and the cementite lamella was spheroidized fully, and the diameter of the cementite particle was about 50 nm. The bent or fractures can occur at the edge of shock wave. Ultra-high strain rate shocking induced severe plastic deformation at the surface of materials and the cementite lamella has better plastic deformation capacity.