The risk for initiation of fatigue cracks in the rail head and web in the weld zone of a rail is studied. The interaction between the welding residual stress field and the stress field caused by service loads is simulated in a nonlinear finite element (FE) analysis where the welding residual stress distribution (shape) and magnitude, the service load magnitude and the material parameters used in the fatigue life estimation are varied. The initiation of fatigue cracks is assessed using the shear-stress-based multiaxial fatigue criterion proposed by Dang Van, and the propagation of fatigue cracks in the rail web is carried out using a Paris-type crack growth law. A discussion is presented of the interpretation of using the Dang Van criterion to assess crack initiation for stress–response load cycles with low shear stress amplitudes and high hydrostatic stress levels. In addition, the accuracy in the fatigue life assessment is evaluated by statistical uncertainty analysis where the variances according to the Gauss approximation formula are studied. The risk for fatigue crack initiation and propagation in the rail head and rail web, respectively, is enhanced due to the welding residual stress, and the uncertainty in load level dominates the uncertainty in the fatigue assessments.