In the present study, surface mechanical grinding treatment method was developed to induce a gradient nano-grained structures in commercial pure iron bar. The gradient structures and hardness were characterized by optical microscope and micro-indentation. Fatigue behaviors of samples in gradient nano-grained structures and in as-annealed state were examined at room temperature, and the fatigue fracture behavior was characterized with scanning electron microscope. The result showed that the thickness of deformation layer was about 300 μm, and the fatigue strength of the treated case was 252 MPa based on fatigue life of 107 cycles, but the fatigue strength of the as-annealed sample was 186 MPa. Fatigue cracks source of samples in gradient nano-grained structures gradually transformed into the internal of gradient structures layer, but cracks sources of as annealed samples were observed to be initiated at surface.