Fatigue properties remain a key challenge for aluminum–steel self-piercing riveted (SPR) joints in lightweight structures. This study evaluates shot peening as a pretreatment for the AA5052 sheet to improve the fatigue behavior of AA5052/SPFC440 dissimilar joints and to clarify the underlying mechanisms. Shot-peened and conventional SPR joints were prepared for comparison. Quasi-static tensile tests were conducted, and tension–tension fatigue tests were performed at high and low load levels. After shot peening, multiple factors with residual compressive stress, subsurface hardening, and surface roughness influenced the fatigue performance of the SPR joints. This led to a load-level-dependent fatigue behavior, with improved fatigue performance at low load levels and reduced performance at high load levels. At high load conditions, the increased surface roughness played a more significant role, with more crack initiation sites observed, resulting in fatigue lives comparable to or slightly lower than those of conventional joints. In contrast, at low load levels in the long-life regime, surface tensile stress was effectively reduced, crack initiation at surface defects was suppressed, and crack initiation shifted from the surface to subsurface regions, resulting in an 11.3% improvement in fatigue strength. These findings provide practical guidance for improving the fatigue performance of dissimilar-material SPR joints through material surface pretreatment.