This cross-sectional comparative study was designed to explore and describe the prevalence and patterns of cancer-related fatigue in patients with advanced cancer as well as patients undergoing curative radiotherapy. Another aim was to explore the association of anxiety and depression with fatigue. Patients with an advanced stage of disease (n = 228) and patients receiving radiotherapy (n = 81) completed the Borg Category Ratio Scale, the Multidimensional Fatigue Inventory and the Hospital Anxiety and Depression Scale. Patients with advanced disease had an increased probability of experiencing all aspects of fatigue except for mental fatigue as compared to patients undergoing radiation, e.g., odds ratio 11.5 (CI 5.8-22.7) for physical fatigue. Higher scores for depression than for anxiety were reported when patients had high levels of fatigue, with 23% of the patients classified as anxious and 39% depressed. The present study was carried out in order to address a gap in research by comparing the multidimensional aspects of fatigue in different groups of cancer patients. It is the intensity of fatigue that seems to be related to the underlying exposure to radiation or to the level of disease burden rather than the different fatigue profiles, such as the relation between physical and mental aspects.