9–12%Cr heat-resistant steels are widely used as ultra-supercritical thermal power generation components for their excellent high temperature performance and economic applicability. In order to overcome the problems of welding cracking and carbon migration of 9–12%Cr heat-resistant steels’ welded joints, Ni-based alloy welding materials are being more and more widely used. However, a very distinct interface will form between 9–12%Cr heat-resistant steels and Ni-based alloy welding materials due to their different chemical compositions and microstructures. In this work, the microstructure of the interfacial transition zone between a 10%Cr heat-resistant steel and Ni-based alloy welding material is investigated. The influence of temperatures on the fatigue behavior of the welded joint is studied. Two fatigue fracture modes at different temperatures are found, and the underlying mechanism of the different fracture modes are discussed in detail.