The fatigue damage and fracture of metallic glasses (MGs) were reported to be dominated by shear band. While there exist several reviews about the fatigue behavior of MGs, an overview that mainly focuses on shear bands under cyclic loading is urgent, and is of great importance for the understanding of fatigue mechanisms and properties. In this review paper, based on the previous research results, the shear band evolution under cyclic loading including shear band formation, propagation and cracking, was summarized and elucidated. Furthermore, one strategy of enhancing the fatigue property through manipulating the microstructure to suppress the shear band formation was proposed. Additionally, the applications of the effect of annealing treatment and processing condition on fatigue behaviors were utilized to verify the strategy. Finally, several future directions of fatigue research in MG were presented.