Abstract In this paper, P92 steel was subjected to thermal aging treatment at 650 °C for 800 h, and then basic mechanical and creep–fatigue test was performed. The creep–fatigue cycle response trend is consistent before and after aging. Subsequently, microscopic observation shows that P92 steel after aging still has typical lamellar martensite and prior austenite grains. The thermal aging of 650 °C resulted in more precipitates of martensite lath, obvious lath boundary, coarsening of martensite lath, and decreased dislocation density. Furthermore, thermal aging results in the increase of precipitates (Laves phase) and martensite width of P92 steel. The fine Laves phase located on the grain boundary can effectively nail the grain boundary and play the role of precipitation strengthening. Besides, the Laves phase located on the dislocation has the effect of diffusion strengthening, which prevents dislocation slip and improves the creep–fatigue resistance of P92 steel. Finally, four creep–fatigue life model parameters of aging P92 steel were obtained according to the test, including strain range partitioning (SRP), strain energy partitioning (SEP), frequency separation life model (FSL), and strain energy density exhaustion model (SEDE). The prediction results of the four models fall within the double tolerance zone. The SRP and SEP are found to be conservative, while the FSL and SEDE are recommended herein due to their suitability of predicting creep–fatigue life of aging P92 steel.