This paper deals with the roller chain commonly used for transmission of mechanical power on many kinds of industrial machinery, including conveyors, cars, motorcycles, bicycles, and so forth. It consists of a series of four components called a pin, a bush, a plate, and a roller, which are driven by a sprocket. To clarify the fatigue damage, in this paper, the finite element method (FEM) is applied to those components under three different types of states, that is, the press-fitting state, the static tensile state, and the sprocket-engaging state. By comparing those states, the stress amplitude and the average stress of each component are calculated and plotted on the fatigue limit diagram. The effect of the plastic zone on the fatigue strength is also discussed. The results show that the fatigue crack initiation may start around the middle inner surface of the bush. As am example, the FEM results show that the fatigue crack of the inner plate may start from a certain point at the hole edge. The results agree with the actual fractured position in roller chains used in industry.