Constant amplitude axial fatigue tests were conducted on SA533B3 steels with four levels of sulfur content at room temperature and 300 °C. Fatigue life was significantly affected by the inclusions. Fractographic examination results suggested that inclusions near the specimen surface served as the crack initiation site for a majority of the fatigued specimens tested at room temperature and that for those tested at 300 °C, some cracks were identified to initiate around the inclusions even in the interior of the fatigued specimens. Under the cyclic deformation, the dynamic strain aging (DSA) prevailed in the first few cycles at 300 °C, then the interactions among dislocations became dominant. Carbide or nitride precipitation in SA533B3 steels was enhanced synergistically by thermal energy and mechanical stress. It was shown that the combined effects of DSA and grain size reduction are responsible for the better fatigue resistance of SA533B3 steel at 300 °C.