Through the comparison of the inclusions in steels treated by Ti, Ti–La, and Ti–La–Mg, such as morphology, composition, size, and number density of inclusions, the formation process of inclusions in Ti–La–Mg treated steel was studied. It was found that after Ti was added to the steel, the inclusions transformed from Mn–Si–O + MnS to composite multilayer spherical inclusions, whose composition from inside to outside were Ti–O, Mn–Si–O, and MnS. In both Ti–La and Ti–La–Mg treated steels, there was a layer of Mn–Si–O + MnS adhered to the outmost surface of the composite spherical inclusions, which was similar to that of the Ti treated steel. When Ti–La treated, a homogeneous La–Ti–O inclusion could form, and it was the innermost core of the composite inclusion. The La–Ti–O inclusion and MgO collided and aggregated randomly, and they could not form homogeneous inclusions in the composite treatment of Ti–La–Mg, resulting in there were two kinds of cores, La–Ti–O and La–Ti–O + MgO, within the complex inclusion. The process sample study showed that when Ti was added, the number of inclusions would increase. Then after the La addition, owing to the La-containing inclusions (La–Ti–O) aggregation being significant, both the size and number of inclusions could increase in steel. After that, a small amount of Mg could reduce the number and size of inclusions, especially the large-size inclusions. During the cooling process of Ti–La–Mg composite treated steel, the number of inclusions decreased, while the average size of inclusions increased a little.