The aim of this study was to investigate the surface deterioration of high-Cr roll steel caused by the spalling of larger particles during thermal fatigue. The mechanisms of surface deterioration due to spalling of larger particles are discussed. Using a laboratory thermal fatigue test that replicates hot rolling conditions, samples were tested cyclically (up to 4500 times) at maximum cycle temperatures of 500, 600 and 700 °C, followed by water cooling. Specimens with surface deterioration were selected for analysis, revealing important influencing parameters, i.e., the combination of test temperatures, chemical composition, thermal stress and microstructural properties, leading to oxidation-assisted crack growth in different directions and consequent surface deterioration due to early spalling of larger particles. Here, we describe the mechanisms of crack propagation, especially in the lateral direction, and their relation to the subsequent spalling of larger particles, which depend on the influence of the local chemical composition on the microstructural constituents, as well as their distribution and properties. The results obtained in this study can be used in the development of roll steel microstructures with improved resistance to the identified mechanisms of surface degradation.