Thermal fatigue test has been carried out on widely used hot work steel 4Cr5MoSiVl and a low alloyed steel 3Cr3MoV in temperature range of 200 to 700 °C. Tempering resistance, as well as high temperature hardness/strength of steel specimens, works as a dominating material parameter on thermal fatigue resistance. During the heating period, high hardness can depress the inelastic deformation. This deformation is the origination of tensile stress, which acts as the driving force of heat checking during the cooling period. The cyclic strain-oxidation interaction can speed up the damage on surface defects, which plays an obvious role in initiation of thermal cracks. On 4Cr5MoSiVl steel specimens, borders between the matrix and inclusions such as titanium compounds, or lager carbides such as primary carbides, are focused by strain and attacked by oxidation, and are main initiating places of cracks. While on 3Cr3MoV steel specimens, larger strain causes plastic deformation concentrating around grain boundaries. Then the following oxidation accelerates this grain boundary damage and creates cracks.