The present investigation has been carried out in order to study the fatigue behavior of a SAE 1045 steel substrate coated with a WC–10Co–4Cr cermet, of approximately 200 μm thick, deposited by HVOF thermal spraying. Particular emphasis has been paid to the influence of the substrate roughness prior to HVOF deposition, as a mean of improving the mechanical bonding of the coating, on the fatigue life of the coated system. Fatigue tests were conducted under rotating bending conditions (R = −1), employing samples with different surface roughness, including as-polished, fine-grinding with abrasive paper grit 400 and coated and grit blasted with alumina particles of two different sizes (<1 and <3 mm, respectively) and coated. For comparative purposes, tests were also carried out on as-grit blasted specimens employing alumina particles of 3 mm in size. Fatigue tests were carried out at maximum alternating stresses in the range of 358–588 MPa, depending on the condition of the material, in order that the number of cycles to fracture varied in the range of 105 to 106. Selected samples tested at different applied stresses were analyzed after fracture by SEM techniques, which allowed the determination of the crack nucleation and propagation sequence. The results indicate that the presence of the cermet coating gives rise to a delay in the initiation of fatigue cracks at deep notches and alumina particles embedded at the steel substrate after grit blasting, leading to an insignificant fatigue strength debit of the coated specimens, in comparison with the as-polished ones. Fine-grinding, on the other hand, impairs the mechanical bonding of the coating, giving rise to its delamination from the substrate at elevated maximum alternating stresses.