The term fatigue is not only used to describe a sleepy state with a lack of drive, as observed in patients with chronic physical illnesses, but also a state with an inhibition of drive and central nervous system (CNS) hyperarousal, as frequently observed in patients with major depression. An electroencephalogram (EEG)-based algorithm has been developed to objectively assess CNS arousal and to disentangle these pathophysiologically heterogeneous forms of fatigue. The aim of this study was to test the hypothesis that fatigued patients with CNS hyperarousal score higher on depressive symptoms than those without this neurophysiological pattern. Methods: Subjects with fatigue (Multidimensional Fatigue Inventory sum-score > 40) in the context of cancer, neuroinflammatory, or autoimmune diseases were drawn from the 60+ cohort of the Leipzig Research Center for Civilization Diseases. CNS arousal was assessed by automatic EEG-vigilance stage classification using the Vigilance Algorithm Leipzig (VIGALL 2.1) based on 20 min EEG recordings at rest with eyes closed. Depression was assessed by the Inventory of Depressive Symptomatology (IDS-SR). Results: Sixty participants (33 female; median age: 67.5 years) were included in the analysis. As hypothesized, fatigued patients with CNS hyperarousal had higher IDS-SR scores than those without hyperarousal (F1,58 = 18.34; p < 0.0001, η2 = 0.240). Conclusion: hyperaroused fatigue in patients with chronic physical illness may be a sign of comorbid depression.