United States Steel closed up more than 7 percent, as investors doubled down on Trump's "Made in USA" promise. Other steel-related stocks, AK Steel and Cliffs Natural Resources, both closed up over 8 percent, with Steel Dynamics more than 6 percent higher as well.
The materials sector of the was up more than 1 percent Thursday.
The president said he has directed the Commerce Department to prioritize the probe, noting the import probe has "nothing to do with China" but is more of a worldwide concern.
Trump signed the memorandum related to section 232 of the Trade Expansion Act of 1962 at a White House event, which included leaders of some U.S. steel companies. The law allows the president to impose restrictions on imports for reasons of national security.
The memorandum "clarifies the direct link that exists in unfair trade, how that undermines our national security efforts," U.S. Steel CEO Mario Longhi told CNBC Thursday following a White House meeting with the president. "Our companies are fully prepared to contribute, to make sure we elevate the industry ... jobs will come along with it."
Steel stocks have seen exceptionally volatile of late, as health-care reform is still believed to take a higher priority above implementing a tax reform plan in the U.S., which is rumored to include some sort of infrastructure spending package.
Just earlier this month, for example, U.S. Steel fell more than 9 percent, marking its worst day since June 2016. Shares of the company are down about 7 percent year-to-date, including Thursday's gains, but are up more than 53 percent from the same period one year ago.
— Reuters contributed to this report.