The objective of the study was to investigate whether cognitive fatigue in patients with multiple sclerosis (MS) is a spontaneous phenomenon or whether it can be provoked or exacerbated through cognitive effort and motor exercise. Thirty two patients with definite MS and cognitive fatigue according to the Fatigue Scale for Motor and Cognitive Functions (FSMC ≥ 22) performed attention tests (alertness, selective, and divided attention subtests from the TAP test battery for attention performance) twice during rest (baseline), and before and after treadmill training and cognitive load (a standardised battery of neuropsychological tests lasting 2.5 hours). Subjective exhaustion was assessed with a 10-point rating scale. Tonic alertness turned out to be the most sensitive test and showed significantly increased reaction times after treadmill training and after cognitive load. Patients' subjective assessment of exhaustion (10-point rating scale) and the objective test results were discrepant. In contrast, healthy control subjects (N = 20) did not show any decline of performance in the subtest alertness after cognitive or physical load. Data favour the concept that fatigue is induced by physical and mental load. Discrepancies between subjective and objective assessment offer therapeutic options. The common notion of a purely "subjective" lack of physical and/or mental energy should be reconsidered.