Rolling contact fatigue is the most important failure mode of bearings. The failure mechanism of rolling contact fatigue of high-alloy case-hardened bearing steels is studied to provide the basis for improving the service life of bearing steels. The test was carried out on the rolling contact fatigue (RCF) test rig to test the fatigue life of the experimental steel. The rolling element is GCr15 steel and the steel rod is high-alloy case-hardened bearing steel. By means of a microhardness tester, optical microscope, scanning electron microscope and thermodynamic calculation software, the depth of carburized case and carbide type and distribution were observed, and the surface wear behavior, rolling contact fatigue failure type, reason of crack initiation and crack propagation mechanism of the failed steel were analyzed. The results show that the depth of carburized case is 1.6 mm, and the maximum surface hardness is 827HV after surface carburizing. The carbides of carburized case are M23C6, M7C3 and M6C. M23C6 is mainly distributed in grain boundary carburized case, while M7C3 and M6C are mainly distributed in grains. After 1.02×109 cycles under a contact stress of 5 GPa, the raceway depth is 9.3 μm and the amount of indentation is 0.093%. The lubrication state between the ball and the rod is partial elastohydrodynamic lubrication. With the increase of fatigue cycles, the surface wear becomes more severe, and the wear type is fatigue wear. When the fatigue life reached 2.76×108, spalling failure occur in the experimental steel. The failure types are the surface cracking failure caused by carburized carbides and the subsurface cracking failure caused by subsurface shear stress. A white etching area (WEA) is found in the lower part of the spalling pit. The hardness of WEA is 684HV, 25.4% higher than that of base. The white etching area is composed of many small cracks that converged to form a main crack, which passes through the carburized case and ends at 1.5 mm away from the surface. A 610 μm wide dark etching regions (DER) is found at 560 μm away from the surface. The hardness of DER is 612HV, 10.5% lower than that of the base. The rolling contact fatigue life of high-alloy case-hardened bearing steel can be effectively improved by controlling the size and shape of carbides in the carburized case.