The paper presents an experimental protocol developed to locally estimate the different terms of the energy balance associated with the high cycle fatigue (HCF) of steels. Namely, the deformation and dissipated energy are respectively derived from displacement and temperature fields obtained using digital image correlation (DIC) techniques and quantitative infrared thermography (QIRT). The combined processing of visible and infrared images shows the precocious, gradual and heterogeneous development of fatigue localization zones, It also shows the plastic character of dissipative heat sources (i.e. proportional to the loading frequencies) and the non negligible amounts of internal energy variations during a so-called elastic loading cycle. The progress of the fatigue dissipation is finally underlined constructing the drift of the mean dissipation per cycle for a given loading. The paper ends with discussing the consequences of such energy balance properties in terms of HCF modeling.