Inclusions are un-avoidable even in super-clean engineering alloy steels because of the necessary melting process. These inclusions (such as TiN, AlN etc) are considered as harmful phases especially for ultra-high strength alloy steels. The unique experiments (in-situ tension and in-situ fatigue tests) have been conducted in a loading chamber of scanning electron microscope. TiN often characterizes with large blocky cubic morphology. Cracks easily initiate at the sharp corners of TiN cubic particles or sometimes directly initiate in TiN particles because of its brittleness. These cracks propagate to the matrix and to introduce early failure. AlN small particles (in several microns) often distribute as inclusion chains in steels. At tensile and fatigue tests cracks very often initiate at the inclusion chains among AlN small particles and line up to develop voids, which rapidly propagate to the matrix till early failure. These important results reveal the harmful effect of inclusions in micro-scale and can be connected with tensile and fatigue loading processes for understanding the early failure mechanisms.