The filter press composed of SAF2205 cruciform welded joints generally works under cyclic conditions, resulting in the weld becoming a weak area of fatigue failure. In this study, the strengthening effect of cavitation jet peening treatment (CJP) and ultrasonic impact treatment (UIT) on fatigue properties of SAF2205 cruciform welded joints were compared by experiment. The effects of the three treatment methods, including UIT for the entire weld zone (UIT-A) and UIT only for the weld toe zone (UIT-T), and CJP for the entire weld zone, on residual stresses, surface roughness, microhardness, microstructure and fatigue fracture behavior were analyzed. The results indicate that the fatigue fracture initiation position of the fatigue specimens changed from the weld toe of the treated side to that of the untreated side after UIT-A, UIT-T and CJP. The fatigue life of the cruciform welded joint was increased by a maximum of 163.30% after CJP, while the UIT-A reduced the fatigue life. The order of residual stresses at the fatigue fracture initiation position from large to small was UIT-A, untreated, UIT-T and CJP specimens. Furthermore, the thickness of the formed surface strengthening layer with increased microhardness by UIT-A and CJP was 700 μm and 400 μm, respectively. The CJP could reduce the surface roughness, while the UIT had the opposite effect. The refined grains, higher dislocation density and deformation were generated on the surface after CJP and UIT. The effect of residual stress on fatigue life was more obvious than that of microstructure and surface roughness. Compared with UIT, CJP is a more effective treatment for improving the fatigue life of SAF2205 cruciform welded joints.