High-speed railway wheels often experience harsh cyclic loadings in service. To date, plenty of works have been performed to investigate the on-axis high cycle fatigue (HCF) behavior of high-speed railway wheel rim steel. However, the effect of off-axis loading on the HCF behavior is generally not discussed in literature. In this work, a self-designed multi-axis fatigue test fixture was used to realize biaxial tension-bending/shear fatigue loading in the direction of 30° to the axis. For comparison, the on-axis HCF behavior is studied experimentally as well. Based on multiaxial mechanics analysis, a new composite elastic-plastic model for off-axis fatigue was presented. Under almost the same life, although the difference in equivalent stress was not significant between on-axis and off-axis fatigue, experiments found that there were some clear distinct damage mechanisms behind the two fatigue modes in different stress dimensions. Combining with fatigue tests, evolutionary characteristics of macro fracture surface deflection, micro fracture morphology, crack propagation path, dislocation and lattice microstructure beneath fracture critical region were analyzed in depth to make connections with each other, and it was vitally affected by lattice structural evolution, sub-/grains reconstruction, slips shearing at boundaries, and fracture toughness in various degrees. The present research would help us to better understand the law of micro-damage and its evolution of wheel steels under off-axis fatigue.