Fatigue damage is one of the most important damage mechanisms of engineering materials and structures. Fatigue damage prognosis and diagnosis is still a challenging problem despite extensive progresses during the last few decades. Traditional fatigue prognosis methods are cycle-based which introduces some complexities in the fatigue damage analysis. It requires cycle counting techniques to transform the direct stress history to cycle history before the fatigue damage prognosis can be performed, which makes it impossible to perform the concurrent fatigue damage prognosis at the material and structure level. A novel methodology for concurrent multi-scale fatigue damage prognosis is proposed in this paper. The current focus is on the fatigue prognosis coupled with structural dynamics using the state-space model. The proposed methodology is based on a smaller time scale formulation of fatigue crack growth of materials. Mathematically, the proposed fatigue model can be expressed as a set of first order differential equations. A general hierarchical coupled state-space model is proposed to solve the structural dynamic response and fatigue crack growth concurrently. Numerical examples with single degree-of-freedom and multiple degree-of-freedom are demonstrated using the proposed methodology. Existing experimental data under variable amplitude loading is used to validate the proposed methodology at the coupon level. A very good agreement between prognosis results and experimental data is observed.