To clarify the effect of retained austenite on the fatigue properties of carburized SCM420H steel, we investigated the transformation behavior of retained austenite during the first tensile–compressive loading cycle. By using a portable X-ray diffractometer, retained austenite was characterized without removing the specimen from an axial-loading fatigue testing machine. Martensitic transformation mainly occurred during first-cycle tensile loading, which increased the compressive residual stress on the specimen surface. Transformation of retained austenite was dependent on a threshold stress value. In the case of tensile–tensile fatigue testing, at applied stress values below the threshold value, retained austenite did not transform during the fatigue process, whereas at applied stress values above the threshold value, retained austenite transformed significantly during the first cycle and did not transform after the second cycle. In contrast, in the case of compressive–compressive fatigue testing, at applied stress values above the threshold value, retained austenite transformed gradually. These results suggest that the driving force that contributes to the transformation behavior of retained austenite differs between the tensile and compressive load.