Because you’re paying attention. More mental effort.

Maybe you’re not really paying attention to the radio but when you listen to music you do and it is fatiguing after a while.

I’d assume because you’re actively listening to music that you like and pick out. Maybe you’re singing along to it, or you’re actually listening to and interpreting the lyrics, tapping along to the sounds, you’re aware of every song that comes on. With radio music, it’s easy to passively listen to it, you’re not really fully aware of every song that comes on, maybe every now and then something plays that you recognize/like and you sing along to that, but then there’s probably a lot that you just tune out and ignore. It’s easier to “listen” to longer stretches of music if it’s just sort of background sounds you’re not as focused on.

It’s the opposite for me, though mainly because the radio people don’t seem to want to play anything besides the “latest hits” for a few months before changing to the next set.
There was a week where I headed to work with a colleague every second day and we heard a song on our way and heard the same song on the way back again. This happened on all three days of that week, though I don’t remember if the time was similar as well. And I don’t know about the other two days where it was my turn to drive as I had my own list of random music playing.

Well, and a second reason is the constant talking of the hosts between songs that seems to be almost in sync across different stations, as well as the max level cringe prank phone calls some stations do, pretending to be some celebrity’s manager and spouting nonsense in a weird voice, like, “Hello, I’m Ed Sheeran’s manager and I’m calling in regards to the anti-toenail-wrinkles-cream he wants to sell.”

Are you usually sitting down to listen to the radio? Or is it usually just on while you’re already doing something? I only ever listen to the radio when I’m driving and I think most radio listeners are just using it as a kind of auditory wallpaper while they’re working or driving or shopping. It’s a lot less demanding of your attention that way and in turn we tend to be a lot less demanding of it in terms of entertainment value or being strongly affected by it. It’s just on and that’s all it needs to be.

If you’re exhausted after listening to just music rather than the radio, I’d bet it’s because you’re really listening to it which is a more active process and more demanding or your attention. Your standards for what you get out of it are probably higher in that context as well so you may be more likely to tire quickly of it too both because it’s so intense but also because if it’s not particularly amazing you’ll likely want to stop sooner than if it was the radio with regular breaks between songs and something else going on occupying your attention the whole time.

When you listen to FM, the frequency is cut-off, at 15 KHz when I remember correctly. It could be that the higher frequencies make you tired.

The radio in my car was setup so bad I couldn’t stand any source, until I found the hidden equalizer settings. That helped, but the plastic dome tweeters in the rear speakers were the main cause. (I removed them completely)

There’s lots of reasons including psychology.

When you listen to Radio you generally don’t know what songs will be played unless the DJ teases what’s coming. When they tease it’s always something that the vast majority will like.

So with radio you have the anticipation factor which helps bridge the advert gap (if the station plays adverts in between tracks)

When you listen to radio you are often distracted or doing something else.

If you put in an album then you now exactly what order the tracks will be and unless you skip tracks will inevitably have some that are fillers. Also, you are more likely to concentrate on the music which involves more thinking. All of this leads to boredom or fatigue.

There’s something about knowing there are hundreds of others listening to the same station at the same time that makes my local EDM station somehow more interesting than just shuffling the same playlist at home. Could your issue with albums have a social element similar to how watching a live sports match is just more exciting than the rerun an hour later even if you don’t know the outcome?

Also, I disagree with people saying that albums tend to be more boring because only the radio hits are good! I have many albums I like to listen to start to finish.

Could be off base here, but for me an album can be a fairly emotional experience. If it’s something you’ve spent years listening to you may be feeling emotions (knowingly or otherwise) from your past experiences. I don’t know if it’s the feeling you’re feeling, but I often find myself pleasantly exhausted after a good album :) and it’s good to take a break after a couple of those, in the same way you usually wouldn’t watch several movies back to back!

One thing not mentioned is the quality of songs and how they are put on the album.

It is very rare that more than three songs from an album get radio play. There might be some album deep cuts that are good, but a lot of those songs aren’t on the level of their singles.

Also, depending on the artist, the album may not be arranged to be a cohesive listening experience.

I’m weird as hell in that I enjoy music, but I rarely ever sit down and listen to it. Then the other day I learn that my three-year-old discovered Bush’s Glycerine on the way home from daycare and has now been asking for it on our Google Home. I realize, “Dude, I fucking loved Glycerine.”, and immediately set to assembling a playlist over the course of three days, made up of mostly older music I grew up with. But you bet your ass I still don’t listen to it. Anyway… That’s my TED Talk on music.

Create a playlist of your favorite songs by genre. It would provide enough variety but still be cohesive enough not to distract you. Or rely on a streaming apps algorithm.

I think music tends to be exhausting when we’re not able to predict what will come next in the song. It requires us to put much more effort into learning the rhythm. Maybe the albums are just new to you, or a new style that you’re not used to?