Superaustenitic steel Sanicro 25 has been subjected to out‐of‐phase thermomechanical fatigue cycles with 10‐min dwell at peak temperature in the temperature range from 250°C to 700°C. The effect of the dwells on the cyclic response, internal structure and damage mechanism was studied. Cyclic hardening/softening curves, cyclic stress–strain curves and fatigue life curves were evaluated. The internal structure and nanoparticles representing the obstacles for dislocation motion were analysed and identified by energy dispersive X‐ray spectroscopy in scanning transmission electron microscope. Scanning electron microscopy combined with focused ion beam and electron backscatter diffraction was adopted to reveal the respective mechanisms responsible for fatigue crack nucleation and propagation. Effect of dwells in in‐phase and in out‐of‐phase cycling on the fatigue behaviour, on the modification of internal structure and damage mechanisms, were analysed and discussed.