Reducing pollutant emissions and improving safety standards are primary targets for modern mobility improvement. To meet these needs, the development of low-density steels containing aluminum is a new frontier of research for automotive applications. Low-density Fe-Mn-Al-C alloys are promising. In this regard, an alloy with high aluminum content and niobium addition belonging to the Fe-Mn-Al-C system was evaluated to understand the possible phase transformations and thus obtain a transformation diagram by continuous cooling to help future processing. Dilatometry tests were performed in a Gleeble thermomechanical simulator with different cooling rates (1, 3, 5, 10, 15, 20, 30, and 50 °C/s). Chemical analyses carried out simultaneously with dilatometry tests showed the presence of proeutectoid ferrite (αp), δ-ferrite, retained austenite, and niobium carbide (NbC). In the case of low cooling rates (1 and 3 °C/s), lamellar colonies of the eutectoid microconstituents were observed with a combination of α-ferrite and k-carbide. For higher cooling rates (5 to 50 °C/s), martensite was observed with body-centered cubic (BCC) and body-centered tetragonal (BCT) structures.