316L stainless steel fatigue samples produced by laser powder bed fusion (L-PBF) process were stress relieved at 900 °C for 2 h to understand the effect of residual stress on fatigue strength. Two groups of fatigue samples were produced: “polished” and “machined and polished”. “Polished” samples were built to final fatigue sample geometry and then polished to avoid surface roughness effect while preserving the residual stress at the surface. The machined and polished samples were built to rod shape and machined to final fatigue sample geometry (polishing was applied later to keep the same surface roughness). The purpose of the “machined and polished” samples was to see if residual stress can be removed by removing the surface material and obtain the fatigue strength of the material in the as-built (no post-heat treatment) state for later comparison. X-ray diffraction was used to measure the surface residual stress. The results show that polished samples showed significant tensile residual stress in the as-built state. The residual stress was then removed after stress relief heat treatment. Fatigue tests were conducted on the two groups of samples under as-built and stress relieved states. Results show that the fatigue strength of “polished” samples was significantly improved by the stress relief heat treatment. The stress relief heat treatment did not change the fatigue strength of the “machined and polished” samples, which is consistent with the residual stress measurement. The study suggests that stress relief heat treatment should be performed for parts produced by L-PBF process to obtain the best fatigue property and dimensional accuracy.