Cognitive impairment has frequently been shown in patients who seek medical care for stress-related mental health problems. This study aims to extend the current knowledge of cognitive impairments in these patients by focusing on perceived fatigue and effects of distraction during cognitive testing. Executive function and attention were tested in a group of patients with stress-related exhaustion (n = 25) and compared with healthy controls (n = 25). Perceived fatigue was measured before, during and after the test session, and some of the tests were administered with and without standardized auditory distraction. Executive function and complex attention performance were poorer among the patients compared to controls. Interestingly, their performance was not significantly affected by auditory distraction but, in contrast to the controls, they reported a clear-cut increase in mental tiredness, during and after the test session. Thus, patients with stress-related exhaustion manage to perform during distraction but this was achieved at a great cost. These findings are discussed in terms of a possible tendency to adopt a high-effort approach despite cognitive impairments and the likelihood that such an approach will require increased levels of effort, which can result in increased fatigue. We tentatively conclude that increased fatigue during cognitive tasks is a challenge for patients with stress-related exhaustion and plausibly of major importance when returning to work demanding high cognitive performance.