Background Cognitive behavioural therapy (CBT) effectively reduces fatigue directly following treatment in patients with Multiple Sclerosis (MS), but little is known about the process of change during and after CBT. Design Additional analysis of a randomized clinical trial. Objective To investigate which psychological factors mediate change in fatigue during and after CBT. Methods TREFAMS-CBT studied the effectiveness of a 16-week CBT treatment for MS-related fatigue. Ninety-one patients were randomized (44 to CBT, 47 to the MS-nurse consultations). Mediation during CBT treatment was studied using assessments at baseline, 8 and 16 weeks. Mediation of the change in fatigue from post-treatment to follow-up was studied separately using assessments at 16, 26 and 52 weeks. Proposed mediators were: changes in illness cognitions, general self-efficacy, coping styles, daytime sleepiness, concentration and physical activity, fear of disease progression, fatigue perceptions, depression and physical functioning. Mediators were separately analysed according to the product-of-coefficients approach. Confidence intervals were calculated with a bootstrap procedure. Results During treatment the decrease in fatigue brought on by CBT was mediated by improved fatigue perceptions, increased physical activity, less sleepiness, less helplessness, and improved physical functioning. Post-treatment increases in fatigue levels were mediated by reduced physical activity, reduced concentration, and increased sleepiness. Conclusion These results suggests that focusing on improving fatigue perceptions, perceived physical activity, daytime sleepiness, helplessness, and physical functioning may further improve the effectiveness of CBT for fatigue in patients with MS. Maintenance of treatment effects may be obtained by focusing on improving physical activity, concentration and sleepiness.