Due to their excellent creep resistance and good oxidation resistance, 9–12% Cr ferritic–martensitic stainless steels are widely used as high temperature construction materials in power plants. However, the mutual combination of different loadings (e.g., creep and fatigue), due to a “flexible” operation of power plants, may seriously reduce the lifetimes of the respective components. In the present study, low cycle fatigue (LCF) and relaxation fatigue (RF) tests performed on grade P92 helped to understand the behavior of ferritic–martensitic steels under a combined loading. The softening and lifetime behavior strongly depend on the temperature and total strain range. Especially at small strain amplitudes, the lifetime is seriously reduced when adding a hold time which indicates the importance of considering technically relevant small strains.