Friction stir welding (FSW) is a leading technique for joining high-strength steel. This study investigates the relationship between weld power, heat generation (HG), cooling medium, and parent austenite grain (PAG) size during both FSW and submerged FSW (SFSW) processes on 11Cr-1.6W-1.6Ni Martensitic Stainless Steel. Weld power and HG were determined by measuring plunge force and tool torque at various tool rotation rates (350–550 rpm). Additionally, the PAG size and microstructural phases in the base metal (BM), thermo-mechanically affected zone (TMAZ), and stir zone (SZ) were examined using scanning electron microscopy (SEM), electron backscattered diffraction (EBSD), and X-ray diffraction (XRD). The results indicated that the SFSW of martensitic steel required a plunge force twice that of the FSW process, along with greater weld power. The heat generated during SFSW was 130% higher than in FSW at 550 rpm. Despite this, the peak temperatures in the SZ were lower in SFSW as a result of the surrounding water’s high heat absorption. This difference in thermal behavior significantly affected the microstructure. While FSW resulted in a complete phase transformation to fine PAG, SFSW showed only minimal or partial transformation and a higher strain rate. Consequently, the SZ and TMAZ in SFSW exhibited a higher hardness than in FSW.