While he fantasizes about having affairs with other women, and even claims to have had a mistress in the past, there is no evidence within the play that he actually cheated on Linda.
The play focuses on Willy's anxieties, his dwindling self-worth, and the pressures of societal expectations. His infidelity is more of a psychological projection of his insecurities and a longing for something he believes he lacks in his marriage.