(1) Background: Multiple sclerosis (MS) is a chronic neurodegenerative autoimmune disease. Fatigue is a prevalent and debilitating symptom that significantly impacts the quality of life of these patients. A relationship between personality traits and fatigue in MS has been hypothesized but not clearly defined. (2) Methods: A literature search was carried out from databases up to April 2023 for studies correlating personality traits and fatigue in patients suffering from MS. (3) Results: A total of ten articles was included; most of the studies depict a neuroticism–fatigue correlation; however, they were not consistent in terms of the fatigue, personality, and covariate assessments. (4) Conclusions: The clinical and methodological heterogeneity of the included studies prevented us from drawing any firm conclusion on the link between personality traits and fatigue in MS. Several models of personality and different fatigue assessments have been found. Despite this, a common pathway shows that the neuroticism trait or similar personality patterns has a role in fatigue diagnosis. This may be a useful target to improve the quality of life and enhance the modification of the disease treatment results. Further homogeneous and longitudinal studies are needed.