This trial is a study of Gulf War era veterans who have unexplained chronic medical symptoms such as pain, fatigue, and/or cognitive difficulties. The treatments to be studied, cognitive behavior therapy (CBT) and aerobic exercise, have been shown to be effective in alleviating symptoms in individuals with other similar types of illnesses, such as chronic fatigue syndrome and fibromyalgia. This is a Phase 3, 2X2 factorial designed study. All study participants are assigned to one of four treatment groups - CBT and aerobic exercise, aerobic exercise alone, CBT alone or usual and customary care. This study durations is 28 months; 1092 participants were enrolled and will be followed in clinic at 3, 6 and 12 months after enrollment.