This review provides a comprehensive analysis of the fatigue behaviour of cementitious materials, focusing on the characterisation, modelling, and mechanisms underlying their fatigue properties. It begins with a detailed exploration of how material composition and loading conditions influence fatigue performance, along with the underlying mechanisms that govern fatigue fracture processes. The review also synthesises current advanced experimental methods for characterising fatigue damage evolution, highlighting significant achievements and methodological innovations. It also examines theoretical approaches, summarising prominent models and emerging theories that deepen the understanding of fatigue behaviour in cementitious materials. Meanwhile, the paper reviews computational techniques based on fracture mechanics, damage mechanics, statistical analysis, machine learning algorithms and multiscale modelling, assessing their potential to improve the accuracy of fatigue predictions. Lastly, the review identifies crucial research gaps and outlines future directions, particularly in understanding fatigue-related coupling mechanisms to enhance the fatigue resistance and durability of cementitious materials.