Background Using a laboratory-based exercise task, this study investigated objective exercise performance as well as expectations, anxiety and perceived task performance ratings in adolescents with CFS compared to healthy controls and illness controls. Method Trials of a sit-stand exercise task (SST) were undertaken (CFS: n = 61, asthma (AS): n = 31, healthy adolescents (HC): n = 78). Adolescents rated their expectations, pre- and post-task anxiety, and perceived task difficulty. Their parents independently rated their performance expectations of their child. Results The CFS group took significantly longer to complete the SST than the AS group (MD 3.71, 95% CI [2.41, 5.01] p < .001) and HC (MD 3.61, 95% CI [2.41, 4.81], p < .001). Adolescents with CFS had lower expectations for their performance on the exercise task than AS participants (MD -11.79, 95% CI [−22.17, −1.42] p = .022) and HC (MD -15.08, 95% CI [−23.01, −7.14] p < .001). They rated their perceived exertion as significantly greater than AS (MD 3.04, 95% CI [1.86, 4.21] p < .001) and HC (MD 2.98, 95% CI [1.99, 3.98], p < .001). The CFS group reported greater anxiety pre-task than AS (MD 14.11, 95% CI [5.57, 22.65] p < .001) and HC (MD 11.19, 95% CI [2.64, 19.75], p. = 007). Parental group differences showed similar patterns to the adolescents’'. Conclusions Lower expectations and greater anxiety regarding exercise may reflect learning from previous difficult experiences which could impact future exercise performance. Further examination of pre-exercise expectations and post-exercise appraisals could improve our understanding of the mechanisms by which fatigue is maintained.