The high-temperature strength and thermal fatigue properties of Fe-Cr-Nb-Mo ferritic stainless steel (FSSNEW) developed for automobile exhaust system were investigated. The results show that the high-temperature tensile strength and yield strength of FSSNEW are better than or equal to those of the presently applied ferritic stainless steels. The thermal fatigue cracks nucleate at the V-notch. The inclusions along grain boundaries become prior regions for initiation of the cracks. The inclusions distributed at the defects make the formation of cracks in the materials easily through the effects of cycle thermal stress and thermal strain. The length and propagated rate of thermal fatigue cracks increase with the maximum tested temperature increasing. When the maximum temperature arrives at 900°C, the high-temperature oxidation is serious along the grain boundaries, which aggravates the cracks propagating along the grain boundaries. The principle mechanism of stress assisted grain boundary oxygen (SAGBO) embrittlement can be applied to illustrate the effects of external stress on aggravating the damage caused by environmental factors. Therefore, the high-temperature oxidation is the main reason for the propagation of thermal fatigue cracks. The FSSNEW is satisfied for the applied requirement of high-temperature strength in the hot side of the automobile exhaust system.