•Mechanisms of high temperature fatigue damage in austenitic steel.•Use of FIB produced lamellae to get HAADAF-STEM, EDS and EBSD images.•Depletion of Cr at grain boundaries due to the formation Cr carbides.•Role of preferential oxidation of grain boundaries in fatigue crack initiation.•Intergranular crack paths of surface cracks and transgranular paths in the bulk. Crack initiation and short crack growth in highly-alloyed austenitic steel Sanicro 25 cyclically strained at a temperature of 700 °C has been studied. Specimens cycled to 10% of the fatigue life and to the fracture were inspected using scanning electron microscopy and electron backscatter diffraction. On the surface, thin lamellae were extracted site-specifically by focused ion beam and then they were further characterized by high spatial resolution scanning transmission electron microscopy and energy dispersive X-ray spectroscopy. The preferential oxidation of grain boundaries was found to play a principal role in the initiation of multiple cracks. The oxide scale was analysed to show the distribution of individual elements during crack initiation and growth. Two types of crack paths were observed: intergranular due to the oxidation and transgranular accompanied by a cyclic plastic zone. Cracks preferentially initiated at the grain boundaries perpendicular to the stress axis and propagated in the bulk of the material. The role of the oxidation in high temperature fatigue crack initiation is discussed as well as the mechanisms of the crack initiation and growth.