A self-reinforced Si3N4 ceramic with high thermal conductivity was prepared through multi-step pressureless sintering with Y2O3 and MgO additives. The steps consisted of phase control and densification stages to provide additional crystallization sites using a partial α-β phase transformation, which also established a bimodal microstructure. The optimal temperature for the intermediate stage that exhibited the maximum flexural strength was determined by comparing the phase content and linear shrinkage. Thus, 1400 °C, which resulted in 14.4 wt% β-Si3N4, was found to be optimal. After final sintering, a flexural strength of 932 MPa and a thermal conductivity of 74 W/mK were achieved, which are 11.5% and 8.0% higher, respectively, than those obtained using conventional pressureless sintering. The rate constant and activation energy of the pressureless sintering with the Y2O3–MgO additive system were also calculated to evaluate the potential of the α-β transformation to obtain the proper quantity of β-Si3N4 seeds.