The search for the optimal Almen intensity to use in shot peening treatments to maximize the fatigue life of industrial steel components involves many different variables and physical phenomena. In this paper, the optimal peening intensity of different steel grades obtained from an AISI 4340 steel through heat treatments has been determined. Six different steel grades were subjected to shot peening treatments, which were performed under full coverage, but employing diverse Almen intensities, shot sizes and air pressures. The role of the mechanical properties of the treated steel and the applied Almen intensity on the shot peening effects were studied to understand the results obtained by means of rotating bending fatigue tests. Each steel has a specific Almen intensity value able to optimize its fatigue life, thereby allowing an optimal balance between the positive and negative effects induced by shot peening. This value, or range of values, is dependent on the mechanical properties of the treated steel, increasing with increasing steel properties up to a certain point and then decreasing for stronger steels. In these cases, over peening treatments produce sufficiently large surface defects to induce relaxation of the surface residual stress and facilitate the initiation of surface fatigue cracks.