In multiple sclerosis (MS) patients, fatigue is rated as one of the most common and disabling symptoms. However, the pathophysiology underlying this fatigue is not yet clear. Several lines of evidence suggest that immunological factors, such as elevated levels of proinflammatory cytokines, may contribute to subjective fatigue in MS patients. Proinflammatory cytokines represent primary mediators of immune-to-brain-communication, modulating changes in the neurophysiology of the central nervous system. Recently, we proposed a model arguing that fatigue in MS patients is a subjective feeling which is related to inflammation. Moreover, it implies that fatigue can be measured behaviorally only by applying specific cognitive tasks related to alertness and vigilance. In the present review we focus on the subjective feeling of MS-related fatigue. We examine the hypothesis that the subjective feeling of MS-related fatigue may be a variant of inflammation-induced sickness behavior, resulting from cytokine-mediated activity changes within brain areas involved in interoception and homeostasis including the insula, the anterior cingulate and the hypothalamus. We first present studies demonstrating a relationship between proinflammatory cytokines and subjective fatigue in healthy individuals, in people with inflammatory disorders, and particularly in MS patients. Subsequently, we discuss studies analyzing the impact of anti-inflammatory treatment on fatigue. In the next part of this review we present studies on the transmission and neural representation of inflammatory signals, with a special focus on possible neural concomitants of inflammation-induced fatigue. We also present two of our studies on the relationship between local gray and white matter atrophy and fatigue in MS patients. Finally, we discuss some implications of our findings and future perspectives.