Selective laser melting (SLM) has been attracting increasing attention as a suitable route for fabricating personalized orthopedic implants to address patient–prosthesis mismatches and has been used for producing Co29Cr9W3Cu alloys in our previous study. However, SLM technology can result in the formation of mesh-like random high-angle grain boundaries (indicated as molten pool boundaries) and accumulation of residual stress in the microstructure, possibly causing an unstable mechanical property. In this study, the research on the relationship between microstructural evolution and mechanical properties was performed on the SLM-produced Co29Cr9W3Cu alloys with different heat treatments to improve the reliable mechanical property of the SLM-produced Co29Cr9W3Cu orthopedic implants. It was found that the microstrucutre with mesh-like random high-angle grain boundaries could be eliminated during recrystallization, replaced by the one with equiaxial structure containing the Σ3 grain boundaries (annealing twin). Most importantly, the combined effect of eliminating the mesh-like random high-angle grain boundaries and residual stress and generating the Σ3 grain boundary contributed to an increase in elongation from 12.49% of the as-SLM-produced one to 23.38%. Proper heat treatment is considered to be an efficient strategy to improve the mechanical properties of the SLM-produced Co29Cr9W3Cu alloy with a desired tensile ductility.