In order to clarify the effect of fine particle peening (FPP) on fatigue properties of AISI 4135 steel with two levels of hardness, high cycle fatigue tests were carried out using a rotational bending machine at room temperature. The observation of fatigue crack propagation behavior was also performed by the replication technique. In the case of the higher hardness substrate, the fatigue strength was significantly increased by the FPP treatment; however, in the case of the lower hardness substrate, the rate of increase was much lower. This was because the compressive residual stress generated on the surface of the higher hardness specimen was much larger and more stable than the residual stress generated on the lower hardness specimen. These results show that the FPP treatment is very effective when applied to the higher hardness substrate.