As a method for mechanical surface treatment, shot peening has been widely used to improve the fatigue strength of materials. However, the influence of residual stresses introduced by shot peening depends on their stability. The stability of residual stresses during fatigue may be studied in two stages: the first cycle and successive cyclic loading. In this study the stability and development of the residual stresses during the first cycle of strain controlled fatigue of normalized steel was investigated. The influence of total strain amplitude and the loading direction was studied. The residual stresses were obtained using the x-ray diffraction technique. It was shown that the stability and relaxation of the residual stresses depend both on the amount and the direction of the loading stresses. Finite element modeling (FEM) was used to rationalize the experimental data. Very good agreement between the experimental and FEM results were observed.