Formation of different types of nanosized Al-containing oxide precipitates in an Fe-Cr-Al alloy (PM 2000) was studied by electron energy loss spectroscopy (EELS) using a transmission electron microscope (TEM). It was shown that Y3Al5O12 (garnet) and YAlO3 (perovskite) as well as $\gamma $-Al2O3 and $\alpha $-Al2O3 precipitates can be distinguished by analysing the O-K energy loss near-edge structure (ELNES). The formation of interface-specific phases on Al2O3/YAlO3, Al2O3/matrix and Y3Al5O12/matrix interfaces was also investigated by specially resolved EELS analysis. Applicability and sensitivity of the EELS method in the study of steel precipitates were discussed. A sharp pre-peak or “pre-shoulder” in the O-K edge was observed and studied by means of spatially resolved EELS of oxide inclusions. The intense pre-peak was found to be caused by radiation damage induced by the electron beam of the Al hydroxide phase inside Al2O3 inclusions. This phase formed due to the incorporation of hydrogen in the matrix during mechanical alloying in the hydrogen atmosphere. The “pre-shoulder” of the main O-K feature measured on the inclusion/matrix interface results from the formation of a thin Ti-O layer.