Structural alloys are commonly subjected to a variety of thermal and thermomechanical loads. This article provides an overview of the experimental methods in thermal fatigue (TF) and thermomechanical fatigue (TMF) and presents experimental results on the structural materials that have been considered in TF and TMF research. Life prediction models and constitutive equations suited for TF and TMF are covered. The structural materials discussed include carbon steels, low-alloy steels, stainless steels, aluminum alloys, and nickel-base high-temperature alloys. The article explains crack initiation and crack propagation in TF and TMF. It describes thermal ratcheting and thermal shock behavior of structural metallic materials. The article concludes with information on life prediction of structural materials under TF and TMF.