The advantages of applied compressive residual stress on fatigue properties of materials is a well-described topic, but not in all respects. Compressive macro residual stresses in the surface region with medium and high hardness increase the fatigue life and the fatigue limit compared to materials that are free from designed compressive residual stresses because of their increased resistance against crack initiation and propagation. For this aim various surface compressing methods such as burnishing, shot peening, rolling have been developed. The monitoring of residual stress variation during fatigue is important. All properties, which exert lifetime, should be analyzed. The residual stress state of machine elements can change during application, therefore it is necessary to describe how these changes are related to the operational parameters. The surface residual stress state evolution of hardened (quenched and tempered)-and shot peened-42CrMo4 steel during fatigue tests was investigated nondestructively by X-ray diffraction. Four fatigue stress levels were applied. The residual stress state was recorded in shot peened state and monitored during the fatigue tests. The fatigue test was stopped after certain cycles until the specimens fractured. The stress state was measured after each fatigue test stops and the stress relaxation is given in the percentage of the initial stress state in function of cycle number.