Stress constitutes a risk factor for diseases where the immune system plays a significant role. Stress is recognized as a possible trigger for flare ups during the course of multiple sclerosis (MS). The disclosure to the patient of the diagnosis of MS, the commencement of immunomodulatory therapy, and the unpredictability and vagaries of disease progression are all sources of stress. Biological stress systems such as the hypothalamic-pituitary-adrenal system and the sympathetic nervous system may influence the pathogenesis and the disease course of MS. The ability to cope with stress may also be impaired, mediated for example by cognitive deficits or loss of abilities and resources as disease progresses or by the high prevalence of concurrent mood disturbances such as depression and chronic fatigue. Psychiatric comorbidities of MS disease or therapy as well as impairments of coping strategies are underrecognized in clinical practice. Treatment plans for depression among MS patients, as the most common psychiatric comorbidity, should be individualized with integrated approaches. Antidepressants are effective for the treatment of depression in MS patients although further clinical research into the neurobiological and psychological bases of depressive disorders in MS patients is clearly needed. In therapy, coping strategies can be enhanced through multidisciplinary assessment of the various challenges and restrictions imposed by the disease and assisting and supporting the patient in addressing these. Exercise, as a form of positive stress (eustress), also has a role in therapy.