Some evidence supports the involvement of the hypothalamic–pituitary–adrenal axis (HPA axis) with multiple sclerosis (MS)-related fatigue. In this study, we determined the relation of HPA-axis function with primary fatigue in MS patients in the longitudinal treating fatigue in a MS cohort. MS patients from the TREeating FAtigue in MS (TREFAMS) research program that consists of three randomized controlled trials to study the effects of aerobic training, energy conservation management, and cognitive behavioral therapy on MS-related fatigue were included. The HPA-axis functioning was determined at baseline, the end of treatment (16 weeks) and after 52 weeks. The cortisol awakening response (CAR) and night-time cortisol levels were analyzed. Fatigue was measured with the fatigue subscale of the Checklist Individual Strength (CIS20r fatigue). There was no relationship between CAR and night-time cortisol parameters with CIS20r fatigue scores. Neither of the treatments influenced CAR and night-time cortisol parameters, with the exception of an effect in the energy conservation management treatment group on the CAR surge increase over 52 weeks (β = −114.8, p = 0.007, 95% CI = −197.6, −31.9). Our data suggest that the diurnal cortisol secretion is not associated with MS-related fatigue. This indicates that MS-related fatigue is not attributed to diurnal cortisol secretion and is likely caused by other disease mechanisms.