Components made of nickel-based alloys are typically used for high-temperature applications because of their high corrosion resistance and very good creep and fatigue strength, even at temperatures around 1000 °C. Corrosive damage can significantly reduce the mechanical properties and the expected remaining service life of components. In the present study, a new method was introduced to continuously determine the change in microstructure occurring as a result of exposure to high temperature and cyclic mechanical loading. For this purpose, the conventional low-cycle fatigue test procedure was modified and a non-destructive, electromagnetic testing technique was integrated into a servohydraulic test rig to monitor the microstructural changes. The measured values correlate with the magnetic material properties of the specimen, allowing the microstructural changes in the specimen’s subsurface zone to be analyzed upon high-temperature fatigue. Specifically, it was possible to show how different loading parameters affect the maximum chromium depletion as well as the depth of chromium depletion, which influences the magnetic properties of the nickel-based material. It was also observed that specimen failure is preceded by a certain degree of microstructural change in the subsurface zone. Thus, the integration of the testing technology into a test rig opens up new possibilities for improved prediction of fatigue failure via the continuous recording of the microstructural changes.