Fatigue behavior of standardized 4340 steel samples uniformly coated with WIP-C1 (Ni/CrC) by cold spray was investigated. In particular, when a crack appeared at the interface between the base material and the coating, the cause of it as well as its shape and size were investigated. Fatigue loading was applied by alternating symmetrical cycles. Scanning electron microscopy was used to study the onset of failure and the subsequent propagation of cracks. The interface between the two materials performed well—in all samples, the initial crack propagation occurred on the surface of the base material, continuing into the coating material and in the interior of the base material. The fatigue durability curve of stress vs. number of cycles (S-N) presented a conventional form for a metallic alloy and the coating material had an influence only on the damage on the surface of the base material.