Creep-fatigue induced failures are often observed in engineering components operating under high temperature and cyclic loading. Understanding the creep-fatigue damage process and identifying failure root cause are very important for preventing such failures and improving the lifetime of engineering components. Finite element analyses including a heat transfer analysis and a creep-fatigue analysis were conducted to model the cyclic thermal and mechanical process of a furnace roll in a continuous hot-dip coating line. Typically, the roll has a short life, <1 year, which has been a problem for a long time. The failure occurred in the weld joining an end bell to a roll shell and resulted in the complete 360° separation of the end bell from the roll shell. The heat transfer analysis was conducted to predict the temperature history of the roll by modeling heat convection from hot air inside the furnace. The creep-fatigue analysis was performed by inputting the predicted temperature history and applying mechanical loads. The analysis results showed that the failure was resulted from a creep-fatigue mechanism rather than a creep mechanism. The difference of material properties between the filler metal and the base metal is the root cause for the roll failure, which induces higher creep strain and stress in the interface between the weld and the HAZ.