The effects of annealing and fatigue on the local structure of Zr50Cu40Al10 and Zr60Cu30Al10 bulk metallic glasses (BMG) were investigated using the pair density function (PDF) analysis of synchrotron X-ray and neutron diffraction data. Our results indicate that the two compositions respond differently to annealing. The first PDF peak becomes sharper after annealing in Zr50Cu40Al10 with its intensity increasing, indicating that short-range ordering may be induced after the heat treatment. On the other hand, in Zr60Cu30Al10, the effects due to the heat treatment on the local structure are more subtle. Separately, the as-quenched and annealed alloys with the composition Zr50Cu40Al10 were subjected to fatigue loading conditions with ~ 106 compression cycles. The room temperature measurements showed changes in the local structure with fatigue especially for the annealed sample, involving the Cu-Zr correlations. Our results suggest that the physical properties of BMGs upon fatigue loading conditions may become accentuated due to the structural relaxation brought upon by annealing, leading to observable structural changes at the atomic level from fatigue.