A nano-crystalline steel sheet and a method of making a nano-crystalline steel sheet are provided. The nano-crystalline steel sheet may be produced by supplying a liquid metallic glass forming alloy to counter-rotating casting rolls. The liquid alloy may form partially solidified layers on each of the casting rolls. The partially solidified layers may then be pressed together by the counter-rotating casting rolls to form a sheet. The twin casting roll method may provide a sufficiently high cooling rate during solidification of the alloy to create a nano-crystalline microstructure.