In a continuous annealing operation of a cold rolled steel strip involving water quenching and over-aging treatments, a method employing a cooling system comprising a pair of rolls arranged to contact the surfaces of a steel strip, a pair of cooling water spray units arranged in symmetrical positions on both sides of the steel strip and a storage tank connected to the spray units. When the steel strip, heated to a temperature between 500.degree. to 800.degree. C is water quenched, the distortion of the strip during the water quenching is inhibited and the surface oxidation is reduced to such an extent that no supplementary pickling is required.