The nucleation of microstructural fatigue cracks in AISI 4340 steel is investigated. The pre‐electropolished specimen is employed for the observation of the very early stage of fatigue crack initiation correlated with the microstructure. It is found that there are precipitate‐free zones (PFZs) around the lath and packet boundary, and the strength of PFZ is lower than that of the lath due to the lack of second‐phase strengthening. Therefore, the fatigue crack would first initiate within the PFZ. Besides, the initiated crack plane usually is the maximum shear stress plane. However, the MnS inclusions would cause stress concentration so that the lath boundary (LB) deviating from the maximum shear stress plane could also have sufficient driving force to crack. In contrast, when the LB is vertical to the cracked MnS inclusion, it would prevent the crack from propagating into the matrix because of the anisotropy of lath martensite. The effects of the stress concentration caused by the MnS inclusion on the maximum deviation angle and the S‐N curve are discussed.