Recent work has demonstrated that bearing steels, which display ultra-hardness and -strength, possess a complex multiscalar microstructure responsible for their properties. This includes blocky retained austenite at the micron level, bainite subunits, and marteniste plates/laths at the submicron level, as well as a complex dispersion of precipitates in the range of tens of nanometres. The harmonious combination of those features leads both to excellent mechanical and rolling contact fatigue properties. This work reviews the microstructure-property relationships associated to those microstructures, and puts them in the context of a novel two-step bainitic treatment, which was demonstrated to display the highest hardness amongst a number of bainitically hardened steels studied. The phase transformations developed throughout the heat treatment of such steels is discussed, and an interpretation of the origin of their exceptional properties is provided.