Effect of shot‐peening on fatigue behaviour in the gigacycle regime was investigated in order to clarify the duplex S–N curve characteristics. Cantilever‐type rotary bending fatigue tests were performed in laboratory air at room temperature by using hourglass‐shaped specimens of high‐carbon–chromium bearing steel, JIS SUJ2. Fatigue crack initiation site changed from the surface of untreated specimen to the subsurface of the specimen because of hardening and compressive residual stress with shot‐peening in the region of high‐stress amplitude. On the other hand, no difference in fatigue life controlled by the subsurface crack initiation between untreated specimen and shot‐peening one was observed in high‐cycle region. It was suggested that the S–N curve corresponding to the internal fracture mode is inherent in the material, as compared with the S–N curve of surface fracture mode, which is affected by surface conditions, environmental conditions and so on. Subsurface crack initiation and propagation behaviour were discussed under the detailed measurement of crack initiation area and shape of the fish‐eye fracture surface.