Fe36Co36B19.2Si4.8Nb4 bulk glassy rods were synthesized by copper mould casting. The effects of annealing treatments on the microstructure, elastic and mechanical properties of this alloy are investigated. Annealing below the glass transition temperature induces the formation of atomic clusters with pseudo-tenfold symmetry with a close relationship to the Fe23B6 phase. Annealing at sufficiently high temperatures promotes the formation of stable Fe2B and FeB phases and Fe(Co) solid solution. The as-cast alloy exhibits ultra-high hardness (H > 14 GPa), high reduced Young’s modulus (Er > 200 GPa) and good wear resistance. These properties are further enhanced after thermal treatments (H > 18 GPa and Er > 260 GPa are achieved in the fully crystallized sample). The mechanical hardening is accompanied with an increase of the elastic recovery and a decrease of the Poisson’s ratio. The different microstructural mechanisms responsible for these annealing-induced changes in mechanical and elastic properties are discussed.