The fatigue behaviors of a directionally solidified (DS) nickel base superalloy, coated with a MCrAlY coating (NiCrAlYSi) were studied. Two kinds of tests were performed. One kind of tests are low cycle fatigue (LCF) test under strain control at different temperatures, another kind of tests are stress controlled LCF test with SEM-servo hydraulic testing machine for in situ cracking observation. The results show that the effect of coating on LCF life of coating/substrate system was rather different according to different strain levels and temperatures. The coating has no or less effect on LCF life under high strain range and the LCF life is governed by fatigue behavior of substrate in spite of the difference of temperature. However, when strain range is smaller, crack initiation and propagation are observably affected by temperature, which leads to a shorter LCF life of coating/substrate system at 500°C and a longer LCF life at 760°C or 980°C. This means the failure of coating/substrate system is dominated by the cracking of surface coating under low strain range. The brittleness at 500°C lower than DBTT results in rapid stage II crack propagation. The crack initiation from coating surface was in situ observed at room temperature and 700 °C and it was found that cracks usually initiated from the surface roughness of coating and then propagate to failure. The brittleness and surface roughness are the basic acceptable causes leading to the early damage of a coating/substrate system.