At a time when health is being recognized as more than just avoiding death, age and comorbidity are becoming increasingly important aspects of chronic disease. Systemic Lupus Erythematous (SLE) is probably one of the best paradigms of modern chronic disease, sitting at the crossroads of numerous somatic health problems, immune activation, depression, pain, and fatigue. One hundred forty-eight female participants were enrolled in the present study: 50 diagnosed with SLE, 45 with major depressive disorder (MDD), and 53 age-matched controls. Statistically significant lower scores in quality-of-life dimensions related to physical impairment were found in SLE. Patients with MDD presented significant levels of pain, reduced physical summary component (PSC), and general health scores different from healthy controls. Fatigue was reported in 90% of women with SLE and 77.8% of the MDD patients in contrast with 39.6% in the control group. Significant correlations were seen among fatigue severity, age, and educational level in SLE. From our own previous work and more recent work on the association of immune activation and depression, unexplained fatigue in SLE may signify an early sign of immune activation flare-up. The search for cytokine markers should perhaps be extended to fatigue in SLE.