Elastic yarns are the key component of high-performance compression garments. However, it remains a challenge to fabricate anti-fatigue yarns with high mechanical force and long elongation for generating compression garments with prolonged wear. In this paper, we report the development of anti-fatigue double-wrapped yarns with excellent mechanical properties by wrapping high-denier Spandex with nylon filaments in opposite twists. In particular, high-denier (560 D) Spandex as the core was untwisted, which can maximally reduce the interaction between the core and wrapping filaments, enabling high elongation of double-wrapped yarns. In addition, we chose 70 D nylon filaments with a tensile force of 3.87 ± 0.09 N as the wrapping materials to provide sufficient force for double-wrapped yarns. Notably, opposite twists were induced for the inner and outer wrapping filaments to achieve a balanced stable yarn structure. By systematically optimizing manufacturing parameters, including inner wrapping density, outer wrapping density, take-up ratio, and drafting ratio, we obtained double-wrapped yarn with excellent tensile stress (32.59 ± 0.82 MPa) and tensile strain (357.28% ± 9.10%). Notably, the stress decay rate of optimized yarns was only 12.0% ± 2.2%. In addition, the optimized yarn was used as the weft-lining yarn for generating weft-lined fabrics. The elastic recovery rate of the obtained fabric was decreased by only 2.6% after five cyclic stretches, much lower than the control fabric. Our design of anti-fatigue double-wrapped yarns could be widely used for fabricating high-performance compression garments.