The effects of the thermal treatment on the coercivity and mechanical behaviour of glass covered Fe_71.8Cu₁Nb_3.1Si₁₅B_9.1 microwires have been investigated. Variations of the coercivity, H_c, with the annealing are attributed mainly to the devitrification process in this kind of microwires. The annealing temperature dependencies (300-700°C) of H_c exhibit some peculiar differences with respect to that of the classical Finemet ribbon, especially in the temperature range of 400-500°C (very beginning of the nucleation of the nanocrystallization process) and at 650-700°C (magnetic hardening owing to the iron borides segregation). Correlation of coercivity with the tensile strength after annealing has been observed. Character of the fracture studied by the scanning microscopy changes significantly with annealing.