Shot peening is a mechanical treatment usually performed on metals for improving the mechanical properties of the surface layers. The application of such treatment to sintered steels causes a local surface densification and the birth of residual compression stresses. In this paper, the effect of different shot peening cycles, selected after a preliminary optimization, has been investigated focusing especially on the fatigue resistance measured by bending tests and on the surface residual stresses measured by XRD technique. Two high performances PM steels were considered: the former was sintered starting from a diffusion bonded powder, whereas the latter is based on a pre-alloyed powder. Two different nominal densities were considered, 6.9g/cm3 and 7.1g/cm3.