The application of high-strength steels in marine engineering is gaining importance because of their high performance and ability to help save resources. However, detailed and systematic information about the corrosion behavior of high-strength steels in different marine corrosion zones is still limited. This study aimed to investigate and compare the corrosion behavior of AISI 4135 high-strength steel in marine atmospheric, splash, tidal, and immersion zones, focusing on rust layer characteristics, corrosion form and electrochemical corrosion behavior. Corrosion exposure experiments were performed in a specific sea area, and the recovered steel samples were characterized by Raman spectroscopy, confocal laser scanning microscopy, nitrogen adsorption analysis, etc. Results showed that the rust layer formed on the surface of the steel in all corrosion zones had component delamination. The steel samples in the atmospheric, splash, and tidal zones were characterized by pitting corrosion, where the average depths of the corrosion pits were 56.1 ± 4.7 μm, 199.5 ± 12.6 μm, 108.1 ± 11.0 μm, respectively, whereas those in the immersion zone were characterized by general corrosion. Meanwhile, electrochemical tests were performed on the electrode samples during exposure. Results showed that the corrosion of the steel progressed from slow to fast in the atmospheric, splash, and tidal zones, whereas it was relatively steady in the immersion zone. Differentiated models of the corrosion evolution of steel under wet–dry cycle and immersion conditions were presented. This discrepancy is related to the varying degrees of accumulation of ionic corrosion products at the metal/oxide interface, which are determined by the mean pore access diameter of the rust layer and the corrosion environment. This study is highly significant for the design of marine engineering considering the safety applications of high-strength steel structures in harsh marine environments.