Porosity and phases are considered to be two key factors for the fatigue performance of powder metallurgy steels. In this paper, the fatigue strengths of the alloy steels sintered from two typical types of powders, pre-alloyed Fe-Cr-Mo (Astaloy CrM), and diffusion-bonding alloyed Fe-Cu-Mo-Ni (Distaloy AE), were comparatively analyzed in view of the geometry of porosity, the phases constitution, and fractography of fracture. Different modes of fatigue fracture were distinguished between the two materials. Namely, a trans-particle fracture is predominant in the Disitaloy AE steel due to the heterogeneous phases which consist of soft phases in powder interior and hard phases along powder borders. In contrast, the fatigue fracture of the Astaloy CrM steel with a homogeneous mono-phase of martensite is characterized by an inter-particle fracture at the sintering necks. Moreover, the fatigue endurance limit of the Distaloy AE steel was not pronouncedly improved by increasing sintering temperature in comparison with the Astaloy CrM steel. This was attributed to the softening of the network constructed by martensite at sintering necks. A modified Murakami model which considers micro-scale defect and micro-hardness is effective to predict the fatigue performance of the alloy steels sintered from pre-alloyed and diffusion-bonding alloyed powders, respectively.