Cold-draw molybdenum wires with diameters of 125, 140 and 160 mm were selected as a model material. Tensile tests and tension-tension fatigue tests under stress control were conducted to investigate mechanical performance of the micron-sized Mo wires. While the fractured surfaces of the wires were examined by scanning electron microscopy. The experimental results show that both of tensile and fatigue strengths under stress control decrease with the decreasing wire diameter. The size effect on fatigue performance of the Mo wire can be attributed to the difference of the quantity of grains along the radial direction, which leads to that the smaller the wire diameter the more sensitive to the fatigue crack or defect on the Mo wire surface, and thereby, the shorter the fatigue life.