The present study investigates the crack initiation in a 304L stainless steel under thermal fatigue using volume element tests designed to assess the endurance to engineering crack initiation in real structures under middle range temperature and fairly large number of cycles. The inelastic cyclic strain is significant in most testing conditions for this alloy, even for long tests. Regarding tests, thermal–mechanical fatigue life is compared with low cycle fatigue tests under isothermal conditions. Noteworthy, throughout the different studied ranges of applied temperature cyclic behavior of the alloy has shown an initial hardening followed by a cyclic softening. In addition, no clear effect in lifetime for the high strain range has been discovered. In fact, when exposed to various increasing temperature levels, the material endurance tends to decreases for low strain range (correspond to high number of cycle). A different behavior in cyclic hardening tests is identified between the In-Phase thermal–mechanical fatigue tests and the Out-of-Phase tests at temperature levels ranges between 90 and 165 °C. In-Phase thermal–mechanical test increases lifetime with respect to the Out-of-Phase test. The fracture surfaces for all tested conditions are characterized by a fatigue striation.