We investigated whether stress may influence fatigue, or vice versa, as well as factors mediating this relationship. Fifty healthy participants (31 females, 23.6 ± 3.2 years) completed up to 5 momentary assessments of stress and fatigue during 5 days of preparation for their final examinations (exam condition) and 5 days of a regular semester week (control condition). Sleep quality was measured by self-report at awakening. A sub-group of participants (n = 25) also collected saliva samples. Fatigue was associated with concurrent stress, stress reported at the previous measurement point, and previous-day stress. However, momentary stress was also predicted by concurrent fatigue, fatigue at the previous time point, and previous-day fatigue. Sleep quality mediated the association between stress and next-day fatigue. Cortisol and alpha-amylase did not mediate the stress–fatigue relationship. In conclusion, there is a reciprocal stress–fatigue relationship. Both prevention and intervention programs should comprehensively cover how stress and fatigue might influence one another.