Purpose/Objectives: To explore the fatigue self-management behaviors and factors associated with effectiveness of these behaviors in patients with advanced cancer. Design: Prospective longitudinal interviewer-administered survey. Setting: Royal Brisbane and Women's Hospital in Queensland, Australia. Sample: 152 outpatients with metastatic breast, lung, colorectal, and prostate cancer experiencing fatigue were recruited. Methods: Patients were surveyed on three occasions: at baseline, four weeks, and eight weeks. Main Research Variables: Fatigue self-management behavior (perceived effectiveness, self-efficacy, and frequency), medical and demographic characteristics (sites of primary cancer and metastasis, comorbidity, performance status), social support, depression, anxiety, and other symptoms were assessed. Findings: The participants reported moderate levels of fatigue at baseline and maintained moderate levels at four and eight weeks. On average, participants consistently used about nine behaviors at each time point. Factors significantly associated with higher levels of perceived effectiveness of fatigue self-management behaviors were higher self-efficacy, higher education level, and lower levels of depressive symptoms. Conclusions: The findings of this study demonstrate that patients with cancer, even those with advanced disease, still want and are able to use a number of behaviors to control their fatigue. Self-management interventions that aim to enhance self-efficacy and address any concurrent depressive symptoms have the potential to reduce fatigue severity. Implications for Nursing: Nurses are well positioned to play a key role in supporting patients in their fatigue self-management.