This study provides a thorough analysis of the fatigue resistance of two low-alloy ultrahigh-strength steels (UHSSs): Steel A (fully martensitic) and Steel B (martensitic–bainitic). The investigation focused on the fatigue behaviour, damage mechanisms, and failure modes across different microstructures. Fatigue strength was determined through fully reversed tension–compression stress-controlled fatigue tests. Microstructural evolution, fracture surface characteristics, and crack-initiation mechanisms were investigated using laser scanning confocal microscopy and scanning electron microscopy. Microindentation hardness (HIT) tests were conducted to examine the cyclic hardening and softening of the steels. The experimental results revealed that Steel A exhibited superior fatigue resistance compared to Steel B, with fatigue limits of 550 and 500 MPa, respectively. Fracture surface analysis identified non-metallic inclusions (NMIs) comprising the complex MnO-SiO2 as critical sites for crack initiation during cyclic loading in both steels. The HIT results after fatigue indicated significant cyclic softening for Steel A, with HIT values decreasing from 7.7 ± 0.36 to 5.66 ± 0.26 GPa. In contrast, Steel B exhibited slight cyclic hardening, with HIT values increasing from 5.24 ± 0.23 to 5.41 ± 0.31 GPa. Furthermore, the martensitic steel demonstrated superior yield and tensile strengths of 1145 and 1870 MPa, respectively. Analysis of the fatigue behaviour revealed the superior fatigue resistance of martensitic steel. The complex morphology and shape of the NMIs, examined using the 3D microstructure characterisation technique, demonstrated their role as stress concentrators, leading to localised plastic deformation and crack initiation.