Objective Breast cancer patients frequently complain of cognitive dysfunction during chemotherapy. Patients also report experiencing a cluster of sleep problems, fatigue and depressive symptoms during chemotherapy. We aimed to understand the complex dynamic interrelationships of depression, fatigue, and sleep to ultimately elucidate their role in cognitive performance and quality of life among breast cancer survivors undergoing chemotherapy treatment. Methods Our study sample comprised 74 newly diagnosed stage I‐III breast cancer patients scheduled to receive chemotherapy, and followed them for one year. An objective neuropsychological test battery and self‐reported fatigue, mood, sleep quality, and quality of life were collected at three time points: before the start of chemotherapy (baseline: BL), at the end of cycle 4 chemotherapy (C4) and one year after the start of chemotherapy (Y1). We applied novel Bayesian network methods to investigate the role of sleep/fatigue/mood on cognition and quality of life prior to, during, and after chemotherapy. Results The fitted network exhibited strong direct and indirect links between symptoms, cognitive performance and quality of life. The only symptom directly linked to cognitive performance was C4 sleep quality; at C4, fatigue was directly linked to sleep, and thus indirectly influenced cognitive performance. Mood strongly influenced concurrent quality of life at C4 and Y1. Regression estimates indicated that worse sleep quality, fatigue and mood were negatively associated with cognitive performance or quality of life. Conclusions The Bayesian network identified local structure (e.g., fatigue‐mood‐QoL or sleep‐cognition), and possible intervention targets (e.g., a sleep intervention to reduce cognitive complaints during chemotherapy).