Descent 2nd Edition rulebook, Page 8, Additional Movement wrote:
A hero may suffer fatigue to receive additional movement points during his turn. For each fatigue suffered, the hero receives one movement point. If the hero already has fatigue equal to his Stamina, he may not suffer any more fatigue to receive additional movement points (see "Fatigue and Stamina" on page 13). A hero player is not required to perform a move action in order to suffer fatigue to move. During his turn, before or after resolving an action or during a move action, a hero may suffer fatigue to gain movement points.
Emphasis mine. Fatigue-moving can be done before or after any other actions, or interrupting a move action, but it cannot be used to interrupt a different kind of action. For instance (as seen in another recent thread), the Knight ability Advance instructs the hero to move three spaces and attack; this ability cannot be interrupted to gain additional movement points between the movement and the attack.