Most failures in steel materials are due to fatigue damage, so it is of great significance to analyze the key features of fatigue strength (FS) in order to improve fatigue performance. This study collected data on the fatigue strength of steel materials and established a predictive model for FS based on machine learning (ML). Three feature-construction strategies were proposed based on the dataset, and compared on four typical ML algorithms. The combination of Strategy Ⅲ (composition, heat-treatment, and atomic features) and the GBT algorithm showed the best performance. Subsequently, input features were selected step by step using methods such as the analysis of variance (ANOVA), embedded method, recursive method, and exhaustive method. The key features affecting FS were found to be TT, mE, APID, and Mo. Based on these key features and Bayesian optimization, an ML model was established, which showed a good performance. Finally, Shapley additive explanations (SHAP) and symbolic regression (SR) are introduced to improve the interpretability of the prediction model. It had been discovered through SHAP analysis that TT and Mo had the most significant impact on FS. Specifically, it was observed that 160 < TT < 500 and Mo > 0.15 was beneficial for increasing the value of FS. SR was used to establish a significant mathematical relationship between these key features and FS.