The effects of casting currents on the thermophysical behaviors, atomic and nanoscale structure, and mechanical properties of two Zr-based-bulk metallic glasses, i.e., Zr59Cu33Al8 and Zr59(Cu0.55Fe0.45)33Al8, were studied by using differential scanning calorimetry, wide-angle X-ray diffraction, and small-angle X-ray scattering, as well as compression tests. The casting currents can be tuned to change the casting initiative temperature. Results revealed that there is no anomalous structural change for the Zr59Cu33Al8 molten liquid before crystallization during cooling with different casting currents. In contrast, liquid-state phase separation was suggested to occur in the Zr59(Cu0.55Fe0.45)33Al8 molten liquid prepared using lower casting current before crystallization during cooling. The position shift of the first sharp diffraction peak for the diffraction pattern of Zr59(Cu0.55Fe0.45)33Al8 shows that the density of the molten liquid may decrease upon cooling at different casting currents. The small-angle X-ray scattering results indicate that the heterogeneity of the Zr59(Cu0.55Fe0.45)33Al8 metallic glasses increases with decreasing the casting temperature. As a result, the metallic glasses with a liquid-state phase separation possess better mechanical properties, including higher-yielding stress and more significant compressive ductility. The increase in degree of heterogeneity formed by nanoscale liquid-state phase separation and their interactions with the shear bands for the Zr–Cu–Fe–Al bulk metallic glasses were suggested to be responsible for the enhanced mechanical properties.