The DZ125 alloy has excellent mechanical, fatigue, and high-temperature behaviors. It has been widely used in high-temperature gas turbine components. Although a lot of researches have been carried out on the fatigue problem of the DZ125 alloy, there are still few systematical studies on the fatigue crack initiation mechanism and its failure mechanism during very high cycle fatigue (VHCF) by microscopic fracture analysis. It is found that the scatter of fatigue data increases as fatigue stress decreases, and the fatigue life does not increase significantly even at a low fatigue stress (<220 MPa). The above characteristics are directly related to the change of micro-crack initiation mechanism. Under a high fatigue stress, micro-crack tends to initiate from surface or sub-surface of specimen, and the large secondary crack is the main feature of its fracture morphology. At a low fatigue stress, micro-crack is likely to initiate from interior material defects, and the existence of these defects can seriously affect the fatigue life. Persistent slip bands (PSB) lead to the formation of rough surfaces, which is the main feature at the crack tip. The main crack competes with other secondary cracks and eventually causes fatigue fractures. The results of the Murakami equation show that the average stress intensity factor at micro-crack initiation stage is 3.15 MPa·m1/2, the average stress intensity factor at the onset of unstable crack propagation is 7.7 MPa·m1/2, and the average fracture toughness (KIC) is 15.70 MPa·m1/2.