Plasma electrolytic oxidation (PEO) damages fatigue strength of titanium alloy, ultrasonic surface rolling process (USRP) pretreatment is used to mitigate this adverse effect. The microstructure, stress distribution and fatigue performance of Ti6Al4V alloy with different treatment are tested by FESEM, TEM, X-ray stress tester and rotating-bending fatigue tests, and anti-fatigue mechanism of co-strengthened sample is discussed. USRP treatment refines surface grains and introduces a compressive stress field of above 560 μm, which helps to improve the compactness and reduce surface roughness of PEO coating, and significantly increase fatigue resistance of PEO coated samples. Under covering the coating of 20 μm, the fatigue life of co-strengthened sample is about 14 times higher than that of simple PEO sample at 600 MPa, and fatigue crack source also changes from multi-source to single-source and transfers to the subsurface. PEO consumes part of surface nanocrystalline layer and releases some compressive stress for ultrasonic-rolled sample, but the effective compressive stress field with a thickness of 180 μm is still present, and the grains at coating/substrate interface also remain at the nanoscale (∼81 nm), which are the key reasons for USRP to improve fatigue resistance of titanium alloy treated by PEO.