The work aims to study the fatigue properties and failure behavior of EA4T axle steel treated by different shot peening processes, and to analyze the properties of the surface affected layer, especially the mechanism of influence of surface residual stress on fatigue strength. The EA4T axle steel was treated by the traditional shot peening (CSP) and micro-shot peening (MSP) respectively. The surface properties of the specimens after different shot peening treatment were analyzed and then the fatigue test was carried out by a rotary bending fatigue machine to obtain the fatigue S-N curve and residual stress relaxation process. The fatigue fracture surface was observed by scanning electron microscopy (SEM). Compared with CSP, MSP could introduce higher surface hardness and compressive residual stress, while effectively reducing surface roughness. Shot peening treatment could effectively improve the fatigue performance of the specimens and CSP and MSP increased the fatigue limit of 25% and 33%, respectively. There was a linear relationship between the compressive residual stress relaxation and the number of cycles (10≤N≤107) for all shot peened specimens and the linear relationship could be quantitatively described by the empirical formula. The CSP specimens showed a faster compressive residual stress relaxation process than MSP specimens at the same loading stress amplitude. When the compressive residual stress of the specimens after residual stress relaxation process during fatigue loading was higher than 80% of the initial value, fatigue failure did not occur. All the fatigue cracks were initiated on the surface and the fracture mechanism was not changed by shot peening treatment. Compared with CSP, MSP can introduce a better surface influence layer and have a slower compressive residual stress relaxation process at the same loading stress amplitude, which can further improve the fatigue properties of the specimens. Moreover, compressive residual stress and surface integrity are the primary factors affecting the improvement of fatigue limit.