Cognitive behavioral therapy compared with active control has been shown in multiple studies to produce persistent benefits, including decreased fatigue and better physical function. One trial even showed Internet-based cognitive therapy helpful (including 85 vs 27% absence of severe fatigue, and 78 vs 20% normal physical functioning).
Graded exercise therapy has been shown in randomized trials to improve fatigue and physical functioning (albeit not always with overwhelming success, such as 51% vs 27% self-rated improvement).
I'm always happy to challenge my assumptions, but I cannot find any references in a brief search of the literature to suggest that appropriate exercise in chronic fatigue is harmful or worsens cognitive functioning, or that it decreases energy or promotes anhedonia (lack of enjoyment in life). It's possible exercise had these effects on you, but I confess I'd wonder if you might benefit from a more organized graded exercise regimen perhaps with the initial supervision of a physical therapist conversant with chronic fatigue - it may not be something you can start out on your own - graded exercise really means starting out more gently than people may otherwise think is beneficial.
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