Fatigue is a common symptom of multiple sclerosis (MS) that is purported to cause significant distress and have detrimental effects on daily functioning, social and occupational obligations, and overall well-being. The prevalence of fatigue in MS is high, with 53–87% of patients reporting significant problems with fatigue across different studies reported in the literature. The cause of fatigue in MS is still poorly understood. Some researchers have suggested that fatigue is a direct consequence of the MS disease process, but several studies have failed to find a relationship between disease severity and MS fatigue. A number of investigations have reported that depression and sleep are significantly related to fatigue in MS, as well as to one another. The purpose of the present investigation was to examine the relationships among disease severity, depression, and sleep disturbance in MS, and their possible role in predicting fatigue. Four models were proposed to explore these relationships. The best fitting model showed that all three were significant independent contributors to fatigue in MS, accounting for 43% of the variance, with sleep disturbance reigning as the largest contributor. Furthermore, although disease severity predicted fatigue in our sample, both depression and sleep disturbance emerged as stronger predictors. These findings suggest that, beyond core physical/neurological MS symptomatology, there are other factors that contribute to fatigue in MS, namely, depression and sleep disturbance.