To provide more suggestions for the anti-fatigue design of cold-formed steel, a series of high-cycle fatigue tests are carried out on cold-rolled steel sheets connected by self-tapping screws and blind rivets in this paper. Subsequently, fatigue failure mode, fatigue strength, and fatigue damage are analyzed in detail. The test results show that all the effective data points are below the S- N curve of screws in the code. Meanwhile, the fatigue limit of the fitted curves with 95% survival probability is between 0.3 and 0.67 times the specification. Besides, the fatigue damage expansion rate of cold-rolled steel sheets is less than the standard value. Through further discussion, it is noticed that base metal grade has little influence on the fatigue performance, and thickness has a significantly positive influence on the shear resistance and fatigue performance. Moreover, the fatigue performance of the two types of connections is similar.