Despite cancer related fatigue (CRF) being the most common, and debilitating symptom in patients with recently diagnosed acute hematological malignancies (HM), there are limited effective treatments for CRF in HM. The aim of this study was to determine the feasibility of cognitive behavioral therapy (CBT) for CRF in HM. In this preliminary longitudinal prospective study, HM patients diagnosed a median of one month previously with moderate to severe fatigue were enrolled. Patients received CBT in seven weekly sessions for eight weeks. Change in Functional Assessment of Cancer Illness Therapy (FACIT) - Fatigue (primary), FACT-G, Pittsburg Sleep Quality Index (PSQI), Hospital Anxiety Depression Scale (HADS), M.D. Anderson Symptom Inventory - Acute Myeloid Leukemia (MDASI-AML/MDS), and Herth Hope Index (HHI) were analyzed. Twenty-seven of 36 (75 %) patients were evaluable. Adherence and satisfaction rates to the CBT intervention were 78.6% (95% CI 67.2%, 89.9%), and 92% (95% CI 76.7%, 98.3%) respectively. The median age 66, 64% female, the most common HM was AML (60%), median FACIT-F was 27. The mean (SD) improvement at end eight weeks for FACIT-F was 5.5(13.6), Cohen δ 0.4, P=0.046; and for PSQI total was 2.9 (3), Cohen δ -1, P=0.006. We also found significant improvement in HADS anxiety -2.7(4.5), P=0.049, MDASI Sleep -1.8(3.0), P=0.022, MDASI mean module symptom severity -0.7(1.6), P=0.006. However, no significant improvements were found in FACT-G, HHI, and HADS-depression scores. The use of CBT was feasible with improvement of CRF, sleep quality, and anxiety scores in HM. Randomized controlled trials are justified.