This study investigates the effect of fatigue stress on the damping capacity in a damaged Fe-22Mn-12Cr-3Ni-2Si- 4Co damping alloy under fatigue stress. α’ and ε-martensite forms by fatigue stress in the damaged Fe-22Mn-12Cr-3Ni-2Si- 4Co damping alloy under fatigue stress. The α’ and ε-martensite forms with the specific direction and surface relief, or they cross each other. With an increasing fatigue stress, the volume fraction of α’-martensite and ε-martensite increases. With an increasing fatigue stress, the damping capacity increases with an increase in the volume fraction of ε-martensite. The increase in the damping capacity in the damaged Fe-22Mn-12Cr-3Ni-2Si-4Co alloy under fatigue stress strongly affects the increase of ε-martensite formed by fatigue stress, but the damping capacity of the damaged Fe-22Mn-12Cr-3Ni-2Si-4Co damping alloy under fatigue stress is strongly controlled by a large amount of α’-martensite.