Surface treatments such as shot peening, deep rolling, or nitriding are known to be very effective for the protection of a surface against fatigue crack initiation, due to surface hardening and residual compressive stresses introduced below the surface. Thus, crack initiation of cyclically loaded materials occurs predominantly at internal nonmetallic inclusions (NMIs). Two different plasma-nitriding treatments were performed on a quenched and tempered 42CrMo4 cast steel. Ultrasonic fatigue tests were performed up to 109 cycles. Resonant frequency and the nonlinearity parameter were recorded in situ during the fatigue tests. Fractographic analyses were performed by means of scanning electron microscopy in combination with energy-dispersive X-ray spectroscopy. The results showed that nitriding, as expected, led to improvements in both fatigue life and rates of internal crack initiation at NMIs. However, the analysis of in situ parameters revealed that internal crack initiation occurred at stress amplitude levels well below the failure stress amplitude even for repeated loading until the run-out limit of 109 cycles.