The eutectic cast Al–Si alloys with excellent high-temperature and casting performance are widely used in engine pistons. During frequent starts and stops, the thermo-mechanical fatigue (TMF) is the most important failure cause. Ultrasonic melt treatment (UT) was chosen to compare and investigate the influence of micro-structures on fatigue life and damage mechanisms of as-cast (AC) eutectic Al–Si alloys under TMF loading. After UT, the grain size, primary Si, and intermetallic particles are reduced significantly in the alloy; fatigue life increases obviously. As a result of pilling-up of dislocations, the competitive effects of the critical strain/stress for fatigue crack nucleation can be found. There are two different crack initiation mechanisms under TMF: one is primary Si fracture for AC alloys with limited critical strain/stress for fatigue crack nucleation at fractured Si particles, and the other is primary Si debonding for UT alloys with increasing critical fracture strain/stress. After the crack initiation, the fractured or debonded primary phases provide the advantages for the further development of main cracks for both alloys. The UT alloy (805 ± 253 cycles) has about twice the TMF life of the AC alloy (403 ± 98 cycles). The refinement of micro-structures is instrumental in improving the fatigue resistance and life of TMF for the UT alloy.