The purpose of this study is to investigate the effect of peening on the fatigue life of steel rollers. First, steel rollers were treated by three types of peenings to ensure the same surface roughness of peened rollers. One is the cavitation peening (CP) used a cavitating jet in water with an injection pressure of 30 MPa, and the others are the fine particle peening (FPP) with a shot diameter of 0.1 mm and the normal shot peening (NSP) with a shot diameter of 0.3 mm. The surface hardness and the surface compressive residual stress of the steel rollers were increased by all the peenings In particular, they were most increased by the FPP While, the work-hardened depth due to the CP and the NSP was larger than that due to the FPP. As a result of the roller tests, the fatigue lives of the steel rollers were improved by all the peenings, and they were most improved by the NSP. Judging from the P<max>-N curves and the [A(σ_y/Hv)]_<max>-N curves, the improvement m fatigue lives due to the FPP depended heavily on the increase in surface hardness due to that, and the effects of the CP and the NSP on the rolling contact fatigue were equivalent under the same surface roughness and the same surface hardness.