Many applications of thermally sprayed coatings call for increased fatigue resistance of coated parts. Despite the intensive research in this area, the influence of coating on fatigue is still not completely understood. In this paper, the localization of crack initiation sites and the dynamics of crack propagation are studied. The resonance bending fatigue test was employed to test flat specimens with both sides coated. Hastelloy-X substrates coated with classical thermal barrier coating consisting of yttria stabilized zirconia and NiCoCrAlY layers. The strain distribution on the coating surface was evaluated by the Digital Image Correlation method through the whole duration of the fatigue test. Localization of crack initiation sites and the mode of crack propagation in the coated specimen are related to the observed resonance frequency. The individual phases of specimen degradation, i.e., the changes of material properties, crack initiation, and crack propagation, were identified. The tested coatings strongly influenced the first two phases, and the influence on the crack propagation was less significant. In general, the presented crack detection method can be used as a sensitive nondestructive testing method well suited for coated parts.