Railway sector plays an important role in the means of transportation and the safety of wheels and rails is a greater concern for the manufacturers and operators of the railway network. In the wheel–rail contact, damage may occur due to wear or fatigue and in the latter case Rolling Contact Fatigue (RCF) is a growing problem due to the operation increase of high speed railway trains, where increased number of loading cycles due to the passage of the wheels over the rails, will be present in the wheel–rail contact. The present study focuses on the RCF failure analysis, analytical, numerical and experimental approaches are applied to investigate the problem. It is widely known that Hertz contact theory was the first approach to explain the stress state in the contact area through the calculation of the curvature of ellipse of contact and the stresses governing rolling contact between wheel and rail. The contact zone was studied for semi-elliptical shape, governed with multiaxial, out-of-phase state of stress with constant change in directions of principal stresses occurring due to rolling. Following, Finite Element analysis of the wheel–rail contact was implemented with the realistic loads, boundary conditions and material properties. Since a multiaxial stress state is present in the contact zone with normal and shear stresses, multiaxial fatigue tests in tension torsion were carried out on specimens taken from wheels and rails. Results from the multiaxial fatigue tests were analysed through multiaxial fatigue models, either stress invariant or critical plane models, such as modified Sines, Findley, Wang–Brown, Fatemi–Socie and Smith–Watson and Topper. Orientation of fatigue crack paths were also predicted by applying the above models and comparisons with measured crack orientation were carried out. The difficulties of the experimental measurement and analysis of the crack initiation are discussed and analysed within this complex stress state where alternate shear stresses are present in a strong compression stress and in a confined zone environment.