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Premium threaded connections (PTCs) act as an important part to connect the martensitic stainless-steel tubes in deep wells under the co-action of cyclic loads by axial tension–compression and radial internal–external pressure. Local elasto-plastic deformation and crack are usually found to occur at PTCs, which result in leakage, raw material waste and environmental pollution. Therefore, predicting the deformation behaviours of PTCs and then to find the load boundary for crack mean a lot. However, since the obvious anisotropy, tension–compression asymmetry and Bauschinger effect of the material dynamically evolve with deformation, the challenge for modelling lies in the determination of mass of constitutive parameters which also dynamically evolves with deformation. To solve the problems above, a J2–J3 anisotropic yield criterion together with an Armstrong–Frederick (A-F) kinematic hardening equations are adopted in this work, and a microstructure-based crystal plasticity finite element model (CPFEM) is utilised to produce data for the determination of constitutive parameters. The established model is applied to predict the local elasto-plastic deformation of PTCs to investigate the rule of plastic strain distribution and the effects of cyclic load on it. The results show that the Bauschinger effect caused by the cyclic internal pressure has a large impact on the deformation of PTCs in the early few cycles. The radial internal pressure is the main factor that causes high contact stress and the accumulation of plastic deformation at the sealing surface and the shoulder of PTCs. The combined effect of radial internal pressure and axial tension exits and extremely large magnitude of load (tension force > 1400 MPa, compression force >1000 MPa) may cause failure of PTCs.