Fatigue is a common debilitating complication of primary biliary cirrhosis (PBC), the pathophysiologic mechanism of which is poorly understood. Recently, the neuroactive steroid dehydroepinadrosterone sulfate (DHEAS) was reported to be implicated in Chronic Fatigue Syndrome in the absence of liver disease. The present study was undertaken to analyse fatigue scores and their relationship with disease severity and circulating levels of DHEAS as well as its precursors DHEA and pregnenolone in PBC patients with (n = 15) or without fatigue (n = 10) compared to control subjects (n = 11). Fatigue was assessed using the fatigue impact scale (FIS) including cognitive, physical and psychosocial subclasses. Steroids were measured by radioimmunoassay or gas chromatography/mass spectrometry. Plasma concentrations of DHEAS were significantly reduced in PBC patients with fatigue as compared to controls, while those of its precursors DHEA and pregnenolone remained within the control range. Plasma levels of DHEAS in PBC patients were significantly correlated with fatigue severity as reflected by total FIS scores including total (rp = −0.42; p = 0.018), as well as the cognitive (rp = −0.37; p = 0.03), physical (rp = −0.48; p = 0.006) and psychosocial (rp = −0.35; p = 0.04) subclasses of fatigue scores. No correlation of fatigue scores was observed with indices of liver function. These findings suggest that reduced levels of the neurosteroid DHEAS may contribute to fatigue in patients with PBC; substitutive therapy using DHEAS or its precursor DHEA could be beneficial in the management of fatigue in patients with low levels of DHEAS.