Plasma electrolytic oxidation (PEO) has a negative effect on the fatigue performance of titanium alloys. To reduce/eliminate this influence, the effect of an ultrasonic surface rolling process (USRP)-induced compressive residual stress and gradient nanostructure on the PEO coating growth and fatigue behavior of a PEO-coated Ti-6Al-4V alloy was investigated. The PEO process yielded a severe decrease in the fatigue life of the substrate. Owing to the USRP pretreatment, the low cycle fatigue life and high cycle fatigue life of the PEO-coated sample improved to similar values and considerably higher values, respectively, compared with those of the substrate. This is attributed to the synergistic effect of the gradient nanostructure and compressive residual stress, which retarded crack initiation and propagation, although the residual stress played the major role in the aforementioned improvement. Additionally, the nanostructure promoted nucleation and growth of the PEO coating, as surface nanocrystallization improves the chemical activity of the titanium alloy surface. The PEO treatment influenced the residual stress mainly at the top surface of the substrate, but had almost no influence on the stress distributed in the interior.