35CrMo and 42CrMo are the two main structural alloy steels in China, and are widely used in making important structural components subjected to heavy loads. In order to search after their fatigue properties under cyclic loads, 33 specimens were tested, under different stress level and different stress ratio from each other, to observe their crack initiation lives and the failure lives, together with the growing short crack lengths at various cycles. All tests were conducted using the MTS 810-22 material testing system. Based on the results from the tests, the relationships between the maximum stress range at crack tip and the number of cycles prior to crack initiation were determined, and in the meanwhile, the small crack propagation laws and the threshold stresses for fatigue crack initiation were obtained. In the end, the fatigue life prediction method for the two structural alloy steels was carried out.