Fatigue is a concern for both people with insomnia and with depression, yet it remains poorly understood. Participants (N = 62) included those meeting Diagnostic and Statistical Manual of Mental Disorders (4th ed., text revision) criteria for insomnia and major depressive disorder (MDD). Multiple regression examined sleep, mood, activity, and cognitive factors as predictors of mental and physical fatigue. Only the cognitive factors (i.e., unhelpful beliefs about sleep and symptom-focused rumination) were predictive of both physical and mental fatigue. Beliefs about not being able to function and needing to avoid activities after a poor night of sleep were related to both types of fatigue. Targeting these beliefs via cognitive therapy and encouraging patients to test maladaptive beliefs about sleep may enhance fatigue response in those with MDD and insomnia.