Fatigue damage plays an increasingly important role in the design of various safety critical components that are exposed simultaneously to thermal and mechanical loads. Non-isothermal conditions, as these are to be found in turbine components, rocket engines, but also in high-speed machining tools makes the understanding even more complex. As the nature of those loading histories is mostly multiaxial, design engineers are interested in material models, which take into account the complexity of stress state and temperature history as well. The experimental validations of those models require specially designed test set-ups. The basic concepts of experimental techniques to perform non-isothermal, uniaxial fatigue tests will be described in general. Test systems, capable to simulate non-isothermal multiaxial stress states are presented. A new miniaturised electrothermalmechanical test rig, which allows testing of small specimens under complex thermomechanical loading conditions, will be discussed.