Rock engineering is highly susceptible to cyclic loads resulting from earthquakes, quarrying or rockbursts. Acquiring the fatigue properties and failure mechanism of rocks is pivotal for long-term stability assessment of rock engineering structures. So far, significant progress has been gained on the mechanical characteristics of rocks subjected to cyclic loading. For providing a global insight of typical results and main features of rocks under cyclic loading conditions, this study comprehensively reviews the state-of-the-art of deformation and failure mechanism and fatigue constitutive relationship of rocks subjected to cyclic loading in the past 60 years. Firstly, cyclic tests on rocks are classified into different types based on loading paths, loading parameters, loading types and environment conditions. Secondly, representative results are summarized and highlighted in terms of the fatigue response of rocks, including the deformation degradation, energy dissipation, damage evolution and failure characteristics; both laboratory testing and numerical results are presented, and various measurement techniques such as X-ray micro-computed tomography (micro-CT) and digital image correlation (DIC) are considered. Thirdly, the influences of cyclic loads on the mechanical characteristics of rocks are discussed, including the cyclic stress, frequency, amplitude and waveform. Subsequently, constitutive relationships for rocks subjected to cyclic loading are outlined, in which typical fatigue constitutive models are compared and analyzed, regarding the elastoplastic model, the internal variable model, the energy-based damage model and the discrete element-based model. Finally, some ambiguous questions and prospective research are interpreted and discussed.