Fatigue, which is one of the most commonly reported symptoms in cancer, can negatively impact the functional status and the health-related quality of life of individuals. This paper systematically reviews 34 studies to determine patterns of associations between immunogenomic markers and levels of cancer-related fatigue (CRF). Findings from the longitudinal studies revealed that elevated fatigue symptoms especially of women with early stages of breast cancer were associated with high levels of neutrophil/monocyte, IL-1ra, and IL-6 during radiation therapy; high levels of CD4+, IL-1β, and IL-6 with stressing stimuli; high levels of IL-1β during chemotherapy; low NK cell levels after chemotherapy; and presence of homozygous IL-6 and TNF alleles. In the cross-sectional studies, associations between levels of fatigue and immune/inflammatory markers were not consistently found, especially when covariates such as BMI, ethnicity, menopausal status, and educational level were controlled in the statistical analyses. However, a number of genomic markers were observed to be elevated mostly in fatigued breast cancer survivors in the cross-sectional studies. Gaps in knowledge and recommendations for future research are discussed.