Energy dispersive X-ray microanalysis of micron-sized inclusions in steel is of considerable industrial importance. Measured spectra and Monte Carlo simulations show a significant effect of the steel matrix on analysis of CaO-Al2O3-MgO inclusions: the steel matrix filters the softer (Al and Mg) characteristic X-rays, increasing the relative height of the Ca peak. Bulk matrix correction methods would not result in correct inclusion compositions, but operating at a lower acceleration voltage shifts the effect to smaller inclusion sizes.