In the present study, a temperature gradient system was designed with the aim of carrying out the tensile and fatigue test of thin-walled cylindrical alloyed steel (30CrMnSi). The tensile test under different temperatures was first carried out to obtain the static mechanical parameters. And then a three-dimensional (3D) finite element model was constructed to further study the deformation behavior under temperature gradient by the finite element analysis (FEA). The FE result was in good agreement with that of the experiment. Following this, the tensile fatigue test was performed under cooled air and no-cooled air to investigate the influence of the temperature gradient on fatigue life-time, respectively. The influence of cooled air under the lower nominal stress on fatigue life was not obvious than that of higher nominal stress. Finally, the scanning electron microscopy (SEM) was employed to investigate the fracture mechanism. The microstructure revealed that the fracture first occurred at the zone where there was a lower temperature.