The decreased fatigue capacity of welded components with increasing plate thickness, known as the size effect, is a well-known phenomenon in most fatigue design standards. The size effect links directly to the probabilistic nature of fatigue failure, where the extent of stress concentrations and stress gradients through the thickness governs the fatigue capacity of the joint. Fatigue design standards and recommendations address the thickness effect by modifying the S-N curve for joints thicker than the reference thickness value; however, the increase in fatigue strength due to the thinness effect is commonly not considered. The probabilistic nature of fatigue failure for welded joints is investigated in the current study using the weakest link modelling approach based on the stress distribution in the welded joint. The modelling approach is evaluated with the effective notch stress method and evaluated against fatigue test data for non-load-carrying welded joints found in the literature. The differences and similarities between the probabilistic and effective notch stress methods give a good insight into how the fatigue strength of welded joints is correlated to the size effect.