Multiple sclerosis (MS) presents a high prevalence, a marked increase worldwide, and a relevant impact on patients, public health, and society. Anxiety often cooccurs with MS and can contribute to the worsening of MS symptoms. However, knowledge about predictors of anxiety in Patients with MS (PwMS) is scarce. Objective This preliminary study explored a novel model for anxiety symptoms in PwMS, including neuropathic pain (NeP), cognitive fusion (CF), experiential avoidance (EA), and alexithymia as explanatory factors. Method This cross‐sectional study integrated two independent convenience samples: 107 PwMS recruited from the Portuguese Society for Multiple Sclerosis and 97 age‐ and gender‐matched participants without the MS diagnosis (no‐MS sample) recruited from the Portuguese general population. Self‐report questionnaires that measured the constructs included in the model were administered to both groups. Results PwMS showed significantly higher values regarding anxiety symptoms and their explanatory variables (NeP, CF, EA, alexithymia) in comparison to non‐MS participants. In the MS sample, no correlations were found between anxiety symptoms and sociodemographic and clinical characteristics. NeP, CF, and alexithymia showed significant correlations with anxiety symptoms and significantly explained this symptomatology in simple linear regression models. Thus, these variables were retained in the multiple linear regression model and emerged as significant regressors that together explained 38% of the variance in anxious symptomatology in PwMS. Conclusions This preliminary study provides novel evidence on NeP and some maladaptive emotion regulation strategies related to EA/psychological inflexibility, as vulnerability to anxiety in PwMS can be considerably increased by CF and alexithymia. Clinical implications were discussed.