Background Multiple sclerosis (MS) is a chronic autoimmune disease caused by multiple factors. It can lead to many physical and mental symptoms. Fatigue is one of the most commonly mentioned complaints among MS patients that can affect their quality of life. Physical activityhas many benefits for the physical and mental health of patients with MS. Aim To assess the role of exercise on fatigue among patients with multiple sclerosis and identify the relationship between depression, sleep quality, sociodemographic variables, and fatigue. Methods This is an analytical cross-sectional study based on a sample size of 235patients recruited from the MS clinic at King Fahad Hospital (KFH) in Madinah. The outcome of the study was fatigue among MS patients. Data were collected through telephone calls from February to May 2022 using a structured questionnaire and scales, such as the Godin Leisure-Time Exercise Questionnaire (GLTEQ), Modified Fatigue Impact Scale (MFIS), Patient Health Questionnaire (PHQ2), and Pittsburgh Sleep Quality Index (PSQI). Data were analyzed through SPSS version 20 (IBM Corp., Armonk, NY, USA). The correlation coefficient (r), Chi-square tests, and simple and multiple logistic regression were used as found appropriate. Results Out of the total samples, 37.4% were male and 62.6% were female. The median age of patients was 36 years. The prevalence of fatigue was 37% among patients, with a reported median fatigue score of 26. It was found that 63% of the patients were physically inactive; 32.2% were overweight, 14.2% were obese; 63.8% of patients had poor sleep quality. The fatigue score was negatively correlated with the GLTEQ score, but the results were not significant (r=-0.066; P-value (level of significance)=0.335). Nonetheless, a moderately significant correlation was observed between the MFIS and PSQI and MFIS and PHQ2 (r=0.505, P=<0.001 and r=0.520, P=<0.001, respectively). The Chi-square test showed a significant association between fatigue and progressive types of MS, the primary progressive MS (PPMS), secondary progressive MS (SPMS), and relapsing-remitting MS (RRMS) (odds ratio (OR)=4.4; 95%confidence interval (CI): 2.1-8.9), P=<0.001). Depressed patients were 9.7 times more likely to develop fatigue compared to non-depressed patients (P=<0.001). Those with poor sleep quality were 4.6 times more likely to develop fatigue compared to those with good sleep quality (P=<0.001).Fifty-six percent of fatigue among MS patients were predicted by low income, progressive types, unemployment, obesity, depression, and poor sleep quality. Conclusion Fatigue is a major complaint among MS patients. Most of the patients were found to be physically inactive, depressed, and have poor sleep quality. This study found an association between physical inactivity and fatigue, but the results were not significant. There was a significant association between sociodemographic factors like low income and unemployment, poor sleep quality, obesity, progressive types of MS, depression, and fatigue. Encouraging exercise practice and implementing a regularexercise program are needed, along with weight management plans. Further studies and psychological support meetings are required, with the importance of a holistic approach to patient care.