Hot-work tool steels are exposed to complex interacting cyclic thermal and mechanical loadings. Due to the combination of strengthening via carbides and intermetallic precipitates, dual hardening steels achieve well-balanced mechanical properties in terms of fatigue strength and fracture toughness. Therefore, dual hardening steels have a great potential for hot-work applications. Herein, out-of-phase thermomechanical fatigue tests are used to simulate the loading conditions experienced in hot-work tool steel applications on a laboratory scale. The testing is conducted on Fe–C–Cr–Mo–V and Fe–C–Cr–Mo–V–Ni–Al alloys to compare common 5% Cr and dual hardening hot-work tool steels. The resistance to thermomechanical fatigue is therefore correlated with single or dual hardening. Both alloys experience softening during the fatigue testing. Atom probe tomography investigations reveal coarsening of the secondary hardening precipitates for both alloys. However, the number density of surface cracks is greater for the 5% Cr hot-work tool steel. The dual hardening steel possesses higher resistance to softening and reaches a higher lifetime.