A 40Cr steel was formed with warm extrusion under different temperatures, and the tensile fatigue limits after the warm extrusion were calculated according to the Roca rule. The metallographic microstructure and chemical compositions of the extrusion samples were analyzed with an optical microscope and photoelectric direct-reading spectrometer, respectively; the residual stress and residual austenite were investigated on a stress tester. The fracture morphologies were analyzed with a field-emission scanning electron microscope, and the mechanism by which the warm extrusion temperatures affected the fatigue fracture of the 40Cr steel was discussed. The results show that the grains are refined by warm extrusion at 550°C, the C weight fraction on the sample surface is 0.39%, and the compressive residual stress and content of residual austenite are −297 MPa and 5.3%, respectively, increasing the fatigue life of the samples. The grain sizes of the extrusion samples at 650 and 750°C are larger than those at 550°C, the corresponding C content of the sample surface is 0.39% and 0.38%, respectively, and the compressive residual stresses and contents of residual austenite decrease, leading to a decrease in the fatigue life. The fatigue strength of the samples by warm extrusion at 550, 650, and 750°C is 382, 412, and 385 MPa, respectively. The fracture morphology of the sample at 550°C is a dimple, while that at 650 and 750°C is a cleavage step and river pattern, respectively.