Thrust collars are usually welded to penstock by non-penetration fillet weld in hydropower plants to transfer thrust load to surrounding concrete and rock. The fillet welds work not only under the influence by penstock shell-behavior due to Poisson-effect but also suffer throat bending induced by load carrying behavior of thrust collars. Therefore, there is risk of fatigue crack from fillet weld root when bearing cyclic loading. This paper investigated the load carrying behavior of thrust collars with non-penetration fillet weld subjected to cyclic loading in a pumped storage power plant and obtained the stress distribution among thrust collars based on finite element analysis (FEA) method. The stress range at weld root was derived by performing superposition of the basic stress components, obtained through linear extrapolating from extrapolation points in weld throat section of two load cases. The fatigue endurance of fillet welds root of thrust collar was finally assessed based on weld detail category and its corresponding S-N curves. The investigation results show that the stress distribution along weld throat of thrust collars is complicated and non-linear. The axial thrust force transferred among thrust collars are not even with the characteristics that the fillet weld roots of thrust collar closest to the upstream wall of powerhouse has the highest damage sum while still less than the allowable damage sum with the proposed structural configuration.