Out of phase (OP) thermal mechanical fatigue (TMF) behavior of a directionally solidified (DS) superalloy DZ125 was experimentally and numerically studied. Two different temperature conditions, which are 500–1000°C and 400–900°C, were considered in the present research. Stress and strain responses as well as fatigue life results were presented and discussed. Scanning electron microscope (SEM) and metallographic analysis were used to study the damage mechanism. An oxidation assisted crack initiation and propagation phenomenon were found to explain the shorted life under TMF cycles. In order to characterize the stress and strain deformations under TMF loadings, a modified Chaboche’s constitutive model was applied. Additionally, the TMF life of the material was modeled and predicted by Neu–Sehitoglu damage law with high accuracy