Quench–polish–quench (QPQ) nitro-carburizing of AISI 4140 steel in a salt bath was performed in this study. Nitro-carburizing in a salt bath enhanced the formation of Fe-nitride on the outer surface layer. Moreover, the oxidizing treatment formed a thin oxide layer decorated on the outermost part of the QPQ-treated sample. The dense compound layer formed after nitro-carburizing in a salt bath consisted of refined granular Fe₃N and transformed to Fe₂N after post-oxidation treatment. Micro-shot peening (MSP) was adopted before QPQ treatment to increase the treated steel’s fatigue performance. The results indicated that MSP slightly increased the thickness of the compound layer and harden depth, but it had little effect on improving the fatigue strength/life of the QPQ-treated sample (SP-QPQ) compared to the non-peened one (NP-QPQ). A deep compressive residual stress (CRS) field (about 200 μm) and a hard nitrided layer showed a noticeable improvement in the fatigue performance of the QPQ-treated ones relative to the 4140 substrates tempered at 570 °C. The ease of slipping or deforming on the substrate surface was responsible for its poor resistance to fatigue failure. The cracking and spalling of the brittle surface layer were the causes for the fatigue crack initiation and growth of all of the QPQ-treated samples fatigue-loaded at/above 875 MPa. It was noticed that fatigue crack initiation at the subsurface inclusions was more likely to occur in the SP-QPQ sample fatigue-loading at 850 MPa or slightly above the fatigue limit.