An ultra-high strength stainless steel alloy with enhanced toughness includes in % by weight: 0 to 0.06% carbon (C); 12.0 to 18% chromium (Cr); 16.5 to 31.0% cobalt (Co); 0 to 8% molybdenum (Mo); 0.5 to 5.0% nickel (Ni); 0 to 0.5% titanium (Ti); 0 to 1.0% niobium (Nb); 0 to 0.5% vanadium (V); 0 to 16% tungsten (W); balance iron (Fe) and incidental deoxidizers and impurities. The heat treating method includes the steps of austenitizing at least once followed by quenching, tempering and sub-zero cooling to obtain no more than about 6-8% retained austenite in the finished alloy.