With double plate and anchor-box, a new bolt-welded cable-to-girder anchorage structure was used to connect cable with steel truss of Anqing Yangtze Rive Railway Bridge in high-speed railway from Nanjin to Anqing. Typical anchorage structures used in steel truss were introduced and mechanic behaviors of anchorages were investigated. In order to obtain the fatigue performance of cable-to-girder connection bearing high-speed train load, fatigue test was carried out. The cable-to-girder connection was selected as the research object, which bearing maximum cable force with live load acting. Using ANSYS, 3D finite element analysis on anchorage were carried out, and stress distributions on main welds of cable-to-girder connection were obtained. Based on trains encountering probability of trains were taken into account. According to Miner`s fatigue accumulation damage rule, fatigue load range at the cable-to-girder connection structure was determined. Using a specimen with a scale of 1:2, fatigue test was carried out. Test results showed that no fatigue cracks appeared in cable-to-girder connection during the service life of the bridge, and fatigue performance of the cable-to-girder connection of Anqing Yangtze River Railway Bridge could meet the need of design.