The highly flexible operation schemes of future thermal energy conversion systems (concentrating solar power, heat storage and backup plants, power-2-X technologies) necessitate increased damage tolerance and durability of the applied structural materials under cyclic loading. Resistance to fatigue, especially thermomechanical fatigue and the associated implications for material selection, lifetime and its assessment, are issues not considered adequately by the power engineering materials community yet. This paper investigates the principal microstructural evolution, damage and failure of two steels in thermomechanical fatigue loading: Ferritic-martensitic grade 91 steel, a state of the art 9 wt % Cr power engineering grade and the 22 wt % Cr, ferritic, stainless Crofer® 22 H (trade name of VDM Metals GmbH, Germany; under license of Forschungszentrum Juelich GmbH) steel. While the ferritic-martensitic grade 91 steel suffers pronounced microstructural instability, the ferritic Crofer® 22 H provides superior microstructural stability and offers increased fatigue lifetime and more forgiving failure characteristics, because of innovative stabilization by (thermomechanically triggered) precipitation of fine Laves phase particles. The potential for further development of this mechanism of strengthening against fatigue is addressed.