(1) Introduction: A subset of individuals experiencing long COVID symptoms are affected by ‘brain fog’, a lay term that often refers to general cognitive dysfunction but one that is still poorly characterised. In this study, a comprehensive clinical characterisation of self-reported brain fog was conducted vis-à-vis other long COVID symptoms and parameters of mental, cognitive, and physical health. (2) Methodology: Adult participants reporting long COVID symptoms were recruited from hospital clinics and as self-referrals. Participants completed a battery of questionnaires and clinical assessments, including COVID-19 history, symptomatology, self-reported scales (Chalder Fatigue Scale [CFQ], Center for Epidemiological Studies Depression Scale, and Impact of Events Scale–Revised), computer-based cognitive assessments (simple response time and choice reaction time tasks), physical performance tests (gait velocity and muscle strength assessments), and an orthostatic active stand test. A systematic comparison between participants with and without self-reported brain fog was conducted, and a backwards binary logistic regression model was computed to identify the strongest independent associations with brain fog. This was complemented by an automatic cluster analysis to rank the importance of associations. Finally, a structural equation model was postulated with a causal model of key symptomatic indicators and functional consequences of brain fog as a latent variable. (3) Results: Of 108 participants assessed, brain fog was a self-reported symptom in 71 (65.7%) participants. Those with brain fog were at a longer point in time since COVID-19 onset and reported longer duration of low activity during the acute illness. When assessed, those with brain fog had higher frequencies of subjective memory impairment, word-finding difficulties, dizziness, myalgia, arthralgia, hyperhidrosis, cough, voice weakness, throat pain, visual and hearing problems, dysosmia, paraesthesia, chest pain, skin rashes, and hair loss; mean scores in fatigue, depression, and post-traumatic stress scales were higher; performance in both computer-based cognitive tasks was poorer; and measured gait speed and grip strength were lower. The logistic regression suggested that the best independent associations with brain fog were memory impairment, CFQ, and myalgia. The cluster analysis suggested that the most important associations with brain fog were CFQ, dizziness, myalgia, reduced gait speed, word-finding difficulties, reduced grip strength, and memory impairment. The SEM was consistent with key indicators of brain fog being CFQ, dizziness, myalgia, word-finding difficulties, and memory impairment; and reduced grip strength, gait speed, and cognitive response times its functional consequences. (4) Conclusions: The findings indicate that self-reported brain fog in long COVID is a recognisable symptom cluster primarily characterised by fatigue, dizziness, myalgia, word-finding difficulties, and memory impairment and has adverse psychological and psychomotor correlates. In long COVID, brain fog should be regarded as a wide-ranging symptom and addressed holistically with medical, psychological, and rehabilitative supports as guided by individual needs.