Walking is one of the most beneficial treatments for fibromyalgia patients. However, adherence to walking behavior is low due to the initially associated symptoms (including pain and fatigue). Although the association of catastrophism with greater symptoms is known, the results regarding fatigue have not always been consistent. Nevertheless, it is unknown whether the association between catastrophism and fatigue could, in turn, be conditioned by whether the patients walk or not. Therefore, our goal was to explore the moderating effect of walking on the association between catastrophizing and fatigue in patients with fibromyalgia. A cross-sectional study was carried out with 203 women with fibromyalgia. We used the Multidimensional Fatigue Inventory to assess fatigue and the Pain Catastrophizing Scale to assess pain catastrophizing (differentiating between its three dimensions). An ad hoc item was used to evaluate walking (moderator). Lower scores for fatigue and pain catastrophizing were found among patients who walked versus those who did not. Walking moderated the relationship between rumination and fatigue (Beta = 0.16, t = 1.96, p = 0.049) and between magnification and fatigue (Beta = 0.22, t = 21.83, p = 0.047). Helplessness showed no direct or interaction effect for fatigue. Nevertheless, higher rumination and magnification were associated with higher fatigue only in patients who walked. Therefore, to promote adherence to walking and reduce the effects of catastrophizing on fatigue, it seems necessary to manage rumination and magnification among patients who walk.