We present here an experimental setup developed to locally estimate the terms of the energy balance associated with high cycle fatigue (HCF) of DP 600 steel. Our experiments involve two quantitative imaging techniques: digital image correlation (DIC) and infrared thermography (IRT). Kinematics fields obtained by DIC allow the estimation of stress and energy density fields by means of a variational method. The temperature recorded by IRT is used to resolve a local form of heat equation, giving thermoelastic and dissipative sources accompanying HCF. Our first results show that around 50% of the deformation energy associated with the mechanical hysteresis loop is dissipated while the rest corresponds to stored energy variations.