Objective: The objective of this study was to investigate how unexplained fatigue and depression are associated over time in a sample of employees with advanced fatigue, taking physical functioning and work status into account. Methods: Data come from a randomized trial in which 151 fatigued employees on sick leave participated. Using repeated-measures analysis, we assessed associations between fatigue and depression scores over the course of 4 years, controlling for physical functioning and work status. Results: Many participants suffered from fatigue and depression that persisted in time. Depression had a strong impact on fatigue in the course of follow-up, and fatigue had a strong impact on depression. The impact of depression on fatigue increased significantly in time, but not vice versa. Physical functioning and work status did not confound the association of fatigue and depression. Conclusion: Fatigue and depression are strongly associated in time and might become more intertwined as time persists. One possible explanation is that depression reinforces fatigue, which suggests that treatment should be focused on all aspects of emotional well-being.