Stress-related exhaustion is an increasingly focused phenomenon, although scientifically not yet fully conceptualised. This is perhaps partly due to the fact that the distinction between exhaustion and other already established concepts, such as depression, is not clear. This study explores whether exhaustion can be differentiated from depression and anxiety, by means of introducing the SF-36 vitality scale as a strategy for the measurement of exhaustion. The Malmö Shoulder and Neck Study cohort, in this study including 12,607 middle-aged men and women, was utilized. Depression and anxiety were assessed by the general health questionnaire (GHQ). Factor analysis was performed in order to potentially discriminate between the included measures. Factor analysis showed that all four exhaustion items of the (inverted) SF-36 vitality scale loaded on a single factor, separate from the GHQ depression and anxiety factors. These results support the notion that exhaustion can be distinguished from depression and anxiety, providing an empirical foundation for defining exhaustion as a unique concept. Furthermore, since SF-36 has been widely used in clinical and epidemiological studies, the benefits of using the SF-36 vitality scale in the assessment of exhaustion could be substantial.