Fatigue fracture of welded joints is an important cause for engineering accidents. Due to the coexistence of so many influencing factors, the current prediction model of fatigue behavior cannot be used for all service conditions. The progress of each module (database establishment, data processing, data augmentation, dimension reduction, and comprehensive consideration of influencing factors) during the process of constructing a prediction model is summarized herein. Specifically, the state‐of‐art prediction models of fatigue strength, fatigue crack growth rate, fatigue life, and fatigue reliability are introduced. Moreover, suggestions for future work are given at the end of each section. Finally, according to the influential prediction methods, the establishment of fatigue performance prediction methods of welded joints via data‐driven method is summarized.