To improve the application of weathering steel in bridge constructions, corrosion fatigue test can be adopted as an effective approach to investigate its fatigue performance under corrosion. First, the classification of the corrosivity of environment, uniform corrosion, and pitting corrosion were introduced, and the effects of corrosion on the fatigue performance of steel were briefly described. Next, three typical types of fatigue tests were reviewed, and results of both domestic and international studies were summarized and analyzed. Then, the content of corrosion fatigue test was summarized, including design of steel specimens, corrosion test methods, and fatigue test methods. Finally, a series of fatigue tests were carried out on 20 corroded HPS 485W and Q345CNH steel specimens, and results were compared with naturally corroded weathering steel specimens. Results indicate that corrosion environment can greatly influence the corrosion of steel, in which the pitting corrosion is a critical factor that can induce the initiation of fatigue cracks. Meanwhile, relevant experimental studies need to be carried out orderly and hierarchically although there are many different kinds of corrosion fatigue test methods. Besides, the design optimization of specimens should be made based on the related codes, and it is critical to take into account of the excessive energy dissipation of specimens during fatigue tests. In experiment process, a reasonable control of corrosion environment conditions is crucial to guarantee the expected test results. It is worth noting that the fatigue strength of the weathering steel specimens decreased significantly after the salty spraying dry/wet corrosion test, and the scatter in data was notably reduced compared with those of uncorroded specimens. Based on the combination of natural corrosion test and accelerated corrosion test, the progresses from weathering fatigue test to corrosion-fatigue test and from small specimen to structural specimen can be gradually realized.