The effects of grain refinement on the corrosion behavior of three ferritic–martensitic (F/M) steels, HT9, T91, and NF616, and two binary model alloys Fe-15%Cr and Fe-18%Cr in supercritical water (SCW) have been investigated. Grain refinement down to a size of about one micron in the surface regions, was achieved by introducing severe plastic deformation by shot peening. After exposure to SCW with 25 ppb oxygen at 500 °C for up to 3000 h, an improvement in corrosion resistance was observed in grain-refined samples because of the enhanced diffusion of chromium on the surface, through a high density of grain boundaries. The chromium content in the steels and the exposure durations in SCW were determined to be important factors influencing the efficacy of the grain refinement effects. These results are supported by both experimental evidence and theoretical predictions. Another approach for grain refinement, equal channel angular pressing (ECAP), was also investigated for T91 steel. ECAP resulted in lower weight gain due to corrosion compared to the untreated samples, but exhibited a slightly higher weight gain compared to the shot-peened samples after long-term exposures in SCW which is probably caused by different fractions of high-angle grain boundaries in grain-refined regions, introduced by different grain refinement techniques.