The GH4169 superalloy has high strength at high temperatures. Cooling conditions have a major impact on the machined surface integrity, which further affects the fatigue properties of specimens of the GH4169 superalloy. The influence of cooling conditions on the surface integrity of the GH4169 superalloy is first studied during the side milling. Then, the effect of surface integrity under different cooling conditions on the fatigue behavior of specimens of the GH4169 superalloy is investigated by a standard tensile and tensile–mode fatigue testing. The results obtained show that surface roughness and the depth of the plastic deformation layer in wet milling and dry milling makes little difference, the surface microhardness rate in dry milling is slightly lower than that in wet milling, the surface tensile residual stress in dry milling is significantly higher than that in wet milling, and the fatigue behavior in dry milling is only about 50% of that in wet milling. In addition, the crack initiation of specimens of the GH4169 superalloy utilizing wet milling is on the subsurface, while that from dry milling is on the surface. Thus, cooling conditions have an important impact on the fatigue behavior of specimens of the GH4169 superalloy, and micro defects in dry milling are the main factors of decreasing of fatigue behavior of specimens of the GH4169 superalloy.