Fatigue is common in people with multiple sclerosis (MS). Activity pacing is a behavioral way to cope with fatigue and limited energy resources. However, little is known about how people with MS naturally pace activities to manage their fatigue and optimize daily activities. This study explored how activity pacing relates to fatigue and physical activity in people with MS. Participants were 80 individuals (60 females, 20 males) with a diagnosis of MS. The participants filled in questionnaires on their activity pacing, fatigue, physical activity, and health-related quality of life, 3–6 weeks before discharge from rehabilitation. The relationships between the variables were examined using hierarchical regression. After controlling for demographics, health-related quality of life, and perceived risk of overactivity, no associations were found between activity pacing and fatigue (β = 0.20; t = 1.43, p = 0.16) or between activity pacing and physical activity (β = −0.24; t = −1.61, p = 0.12). The lack of significant associations between activity pacing and fatigue or physical activity suggests that without interventions, there appears to be no clear strategy amongst people with MS to manage fatigue and improve physical activity. People with MS may benefit from interventions to manage fatigue and optimize engagement in physical activity.