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Two phase metals during cyclic loading can suffer from non-uniform load or strain sharing between the phases due to elastic/plastic anisotropy. This can strongly influence the fatigue damage and crack initiation behavior. In this study, the fatigue damage and crack initiation behavior of an austenitic-ferritic duplex stainless steel with anneal/quenched and aged conditions has been studied by both experimental investigations and simulation using multi-scale material modeling. It was found, both experimentally and via simulations, that the material damage and crack initiation start in the ferrite phase in the material with the anneal/quenched condition and in either the ferrite or austenite phase in the material with the aged condition, mainly in the weakest phase if the deformation hardening is considered.