The aim of the present work is to investigate the influence of different stress concentration factors (1.09, 1.31, and 2.42) and several R‐values on the fatigue behaviour of martensitic steel X10CrNiMoV12‐2‐2 up to 2 · 109 load cycles at ambient temperature. The tests were performed using an ultrasonic fatigue testing system developed at the authors' institute. The S‐N curves of specimens with the lowest investigated stress concentration factor of 1.09 show for both R = −1 and R = 0.5 a flat slope with transition from surface to volume crack initiation at about 1–2 · 107 load cycles. The maximum number of load cycles where fracture occurs increases with increasing R‐value. The √area approach by Murakami describes lifetime behaviour within about 4 decades of lifetime and a wide range of load ratios. In case of internal crack initiation at R = −1, the fracture surface contains a fine granular area (FGA) around the inclusion within the typical “fish‐eye” fracture. With increasing notch factor, the fatigue strength up to 2 · 109 load cycles decreases and the slope of the S‐N curve becomes steeper in the low cycle fatigue and high cycle fatigue regime, especially for αk = 2.42. In this case, damage at internal defects is suppressed and fatigue cracks are generally initiated at the notch root.