A series of bonded magnets of (Nd,Pr)10.5-xDyxFe83.5B6 (x=0.0, 0.5, 1.0, 1.5, 2.0, 2.5) alloys were prepared by a melt-spun method. The effects of Dy substitution on the thermal stability of as-spun ribbons, the magnetic properties and microstructures of alloys were investigated. Dy addition will enhance the intrinsic coercivity Hcj greatly, but reduce the remanence Br, because Dy2Fe14B has a higher magnetocrystalline anisotropy field HA and a lower saturation magnetic polarization Js compared to those of Nd2Fe14B. The Dy substitution for Nd/Pr enhances the thermal stability and increases the crystallization annealing temperature. The higher annealing temperature leads the fine crystallites existing in as-spun ribbons to easily growing, resulting in appearance of some bigger grains and deterioration of the bonded magnet property. The bonded magnet of (Nd,Pr)9.5Dy1Fe83.5B6 alloy with 1.0at% Dy has optimal magnetic properties, i.e (BH)max=71.6 kJ/m3, Br=0.638 T, and Hcj= 611 kA/m