Austenitic–ferritic duplex steels are used for structural applications when high strength in combination with excellent corrosion resistance is required. Many of these applications imply cyclic loading and hence, fatigue damage needs to be considered for dimensioning. Most dimensioning strategies make use of the fatigue-limit concept. However, while the original fatigue-limit concept is based on the idea that existing slip bands or microcracks are blocked by microstructural barriers like grain or phase boundaries, more recent research work has shown that metallic structures may fail far below the conventional fatigue limit even at very high numbers of cycles to fracture. The present paper deals with the observation of local plasticity and fatigue damage in the VHCF regime by means of high-frequency fatigue testing in combination with scanning electron microscopy (SEM) and with electron back-scattered diffraction (EBSD). The results reveal that fatigue damage in the VHCF regime indeed causes the formation of slip bands followed by initiation and propagation of microstructurally short cracks in a very localized manner, manifesting itself by heat generation. The SEM observations and measurements of slip band geometries were correlated with calculations using a finite-element and a numerical short-crack model, which take the real two-phase microstructure and its elastic/plastic anisotropy into account and allow the prediction of both: (i) the fatigue crack initiation sites and (ii) microcrack propagation rates.