This study aimed to investigate the effect of cyclic loading on structural integrity of a P91 specimen at high temperature. The experiments were conducted using a thermomechanical fatigue test machine at 600 °C and electron microscopy investigation. The evolution of the elastic modulus can be used as an indication of the strength degradation of the material. Scanning and transmission electron microscopy were used to investigate the microstructural variations that occurred in the specimen at different life fractions during the cyclic tests. Based on the experimental stress-strain data, variations in the Young's modulus and the area enclosed in the hysteresis loops were determined, together with the variations in other parameters throughout the test. The initiation of cracks begins in the second stage of cyclic softening. The changes of structure, on a micro-scale, do not significantly affect the strength of the specimen, as the Young's modulus values of the specimen remain approximately constant up to the end of the stage 2 cyclic softening before damage to the specimen starts to increase. The cracks cause the material to become weaker, as indicated by the decrease of the Young's modulus value. The evolution of damage was found to be significant in the final stages of softening owing to the propagation of cracks in the P91 steel affecting the integrity of the material.