The fretting fatigue experiments of the coated and the uncoated axle specimens were carried out on a test rig simulating assembly loading condition of actual axles and wheels in 1/4 size ratio. The microstructure and Vickers hardness of the coating were examined before and after fretting tests. The results showed that, the thermally sprayed coating, which consisted of lamellar α-(Fe, Cr) and γ-(Fe, Ni) dual-phase microstructure protected the surfaces of specimens from fretting damage. The fretted surface of the coating was covered with an oxide film of Fe and Cr that stopped surface adhesion. The strong work hardening of the coating under the fretted surface could prevent fretting cracks from vertically propagating and hinder nucleation of fatigue cracks in the specimen substrate. As a result, the fatigue strength of the coated specimen was increased more than 50%.