Ultrasonic fatigue testing was conducted for two bainite/martensite duplex-phase high strength steels with the same chemical compositions and different heat treatments. In this study, a very interesting result was that the obvious thermal effect could be found in some specimens of one steel. Their specimens' surfaces were oxidized because of high temperature during the fatigue tests, and the surface of gage section was changed into snuff color. On the other hand, none of the other specimens was oxidized. The fracture surfaces of oxidized specimens became rough. The results showed that the obvious thermal effect was related to the fatigue crack propagation after fish-eye formation.