Cold pilgering of zirconium alloys containing high content of alloying elements may be a critical issue regarding surface defects or serious cracks. A better knowledge of damaging mechanisms during pilgering is a way for optimizing the cold forming routes of cladding tubes. Behavior of Zircaloy-4, M5™ (M5™ is a trademark of AREVA NP) and Zr-Nb-Sn-Fe alloys under damaging conditions were investigated for this purpose. Cold pilgering is a cyclic deformation process. Depending on its position inside the grooves of the rolls, material is strained alternately in compressive and tensile modes. Thus, materials were first tested under low cycle fatigue (LCF) deformation routes. LCF tests showed that the differences observed in the number of cycles to failure between alloys are mainly a function of the differences in fracture toughness. Fractography of the fatigue and toughness tests samples also showed that the final propagation of the crack is always ductile, meaning that toughness is the function of the ductile tearing damage mechanisms at the crack tip. Therefore, tensile tests of notched axisymmetric samples were used to study the ductile damage build-up mechanisms, by varying the stress triaxiality. A detailed analysis of the fractured samples was used to quantify a ductile damage accumulation parameter, function of the deformation and the stress triaxiality. Size and repartition of second phase particles, grain to grain misorientations, grain size, and texture were identified as the main metallurgical parameters having an effect in the ductile damage by nucleation, growth, and coalescence of voids. These experimental results, combined with the material mechanical history, provided by numerical modeling of the cold pilgering process, are now used to improve the forming routes of cladding tubes, both by a mechanical way (cold pilgering stress state) and a metallurgical one (microstructure of alloys used for tubes rolling).