Rolling contact fatigue (RCF) damages often occur, sometimes even leading to shelling on locomotive wheel treads. In this work, the RCF damage behaviors of two locomotive wheel materials with different molybdenum (Mo) contents were studied, and the influence of depth of wheel material was explored as well. The result indicates that with the increase in the Mo content from 0.01 wt.% (wheel 1, i.e., a standard wheel) to 0.04 wt.% (wheel 2, i.e., an improved wheel), the proeutectoid ferrite content and the interlamellar spacing of pearlite decreased, the depth and length of the RCF cracks increased and the average RCF live of locomotive wheel steel improved by 34.06%. With the increase in the depth of material, the proeutectoid ferrite content and the interlamellar spacing of pearlite increased, the depth of RCF cracks increased, the length of RCF cracks of wheel 1 increased and then decreased whereas that of wheel 2 decreased, the RCF live showed a decrease trend for wheel 1, while the RCF life increased and then decreased for wheel 2. The processes of shelling can be divided into three patterns: cracks propagating back to the surface, crack connection and fragments of surface materials.