A fatigue–oxidation–creep damage model that can take into account the effect of multiaxial cyclic feature on the damage mechanism is proposed under axial-torsional thermo-mechanical fatigue loading. In the proposed model, the effects of non-proportional additional hardening on fatigue, oxidation, and creep damages are considered, and the variation of oxidation damage under different high temperature loading conditions is also described. Moreover, the intergranular creep damage needs to be equivalent to the transgranular damage before accumulating with the fatigue and oxidation damages. The fatigue, oxidation, and creep damages can be expressed as the fractions of fatigue life, critical crack length, and creep rupture time, respectively, which allows the linear accumulation of different types of damages on the basis of life fraction rule. In addition, the proposed model is validated by various fatigue experimental results, including uniaxial thermo-mechanical fatigue, axial-torsional thermo-mechanical fatigue, and isothermal axial-torsional fatigue under proportional and non-proportional loadings. The results showed that the errors are within a factor of 2.