Understanding training dynamics and feature evolution is crucial for the mechanistic interpretability of large language models (LLMs). Although sparse autoencoders (SAEs) have been used to identify features within LLMs, a clear picture of how these features evolve during training remains elusive. In this study, we: (1) introduce SAE-Track, a method to efficiently obtain a continual series of SAEs; (2) formulate the process of feature formation and conduct a mechanistic analysis; and (3) analyze and visualize feature drift during training. Our work provides new insights into the dynamics of features in LLMs, enhancing our understanding of training mechanisms and feature evolution.