Fatigue is a frequent and disabling symptom in patients with multiple sclerosis (MS), but it is difficult to define and measure. Today, MS-related fatigue is not fully understood, and evidence related to explanatory pathophysiological factors are conflicting. Here, we evaluate the contribution of psychological factors to MS-related fatigue. Insight into the possible underlying psychological mechanisms might help us to develop adequate psychological interventions and to improve the overall management of fatigue. Conceptual issues and the relationships between MS-related fatigue and mood, anxiety, cognition, personality, and cognitive–behavioral factors are discussed, and the implications for clinical practice and research are presented.