Ultrafine grained (UFG) metals processed by the severe plastic deformation technique have an unusual microstructure of ‘high energy/non-equilibrium’ state. It has been shown that fatigue cracks in UFG metals under strain-controlled low-cycle fatigue loading are initiated from shear bands that are the area of severe cyclic strain localization. On the other hand, current research lacks the required data to verify the crack initiation mechanism of UFG metals under high-cycle fatigue (HCF) loading. In this study, HCF tests under stress control were conducted on UFG copper to examine the behavior of crack initiation. The morphological change close to the damage traces, which evolved to a fatigue crack during ensuing cyclic stressing, was monitored. Inner fatigue damage was also analyzed by using a focused ion beam technique. Four typical sites of surface-crack initiation were commonly observed: i) persistent slip bands inside coarse dynamically recovered/recrystallized grains, ii) line-shaped damage traces in UFG structure, iii) near coarse grain boundaries, and iv) protruded surface inside the near-by oriented grains. The initiation mechanism of HCF crack in UFG copper was discussed in light of the morphological change in surface damage during cyclic stressing and the formation of embryonic cracks in high energy state microstructure.