Survey studies indicate that reports of disturbed sleep are prevalent and may be prospectively linked to several major diseases. However, it is not clear what self-reported disturbed sleep represents, since the link with objective sleep measures (polysomnography; PSG) seems very weak. The purpose of the present study was to try to investigate what combination of variables (PSG, inflammation, fatigue, anxiety, depression) that would characterize those who complain of disturbed sleep. This has never been done before. Participants were 319 women in a population-based sample, who gave ratings of sleep quality, fatigue, depression, and anxiety, then had their sleep recorded at home, and had blood drawn the following morning for analysis of immune parameters. Correlations and hierarchical multivariable regression analyses were applied to the data. For ratings of difficulties initiating sleep, the associations in the final step were ß = .22, (p < .001) for fatigue, ß = 0.22 (p < .001) for anxiety, and ß = 0.17 (p < .01) for sleep latency, with R2 = 0.14. The rating of repeated awakenings was associated with fatigue (ß = 0.35, p < .001) and C-reactive protein (CRP) (ß = 0.12, p < .05), with R² = 0.19. The rating of early morning awakenings was associated with fatigue (ß = 0.31, p < .001), total sleep time (TST) (ß = −0.20, p < .01), and CRP (ß = 0.15, p < .05), with R² = 0.17. Interleukin-6 and Tumour Necrosis Factor were not associated with ratings of sleep problems. The results indicate that subjective fatigue, rather than objective sleep variables, is central in the perception of poor sleep, together with CRP.