Although the co-occurrence among symptoms of insomnia, fatigue, and depression has been frequently reported, the etiology of this co-occurrence remains poorly understood. A total of 3,758 adult female twins in the United Kingdom completed a mail-out survey including six questions concerning frequency and severity of symptoms of insomnia, fatigue, and depression. Correlations among the scores of the three symptoms ranged from 0.35 to 0.44. Among various multivariate models we tested, the common-pathway model explained the data best. In the best-fitting model, the common factor was explained approximately equally by genetic and unique environmental factors (49% and 51%, respectively). In addition to the common variance, there was a significant specific variance in each symptom, where unique environmental factors were much larger than genetic factors. These results imply that although there are shared genetic liabilities for the development of symptoms of depression, fatigue, and insomnia, it is environmental experiences that make etiological distinctions among three symptoms.