Cyclic behavior and life prediction of two tempered martensitic steels (AISI H11 and L6) are investigated under thermo-mechanical loading conditions. Two non isothermal constitutive models developed in the same framework of the thermodynamics of irreversible processes are introduced. The first one, in relation with the tempering state, considers the fatigue-ageing phenomena whereas the second one is intended to take into account more complex loading paths. This last non unified approach allows to define different strain mechanisms which can be related to microstructural considerations. The strain-stress parameters provided by both approaches can be introduced into a lifetime model which is based on continuum damage mechanics.