Multiple sclerosis (MS) is an autoimmune disease characterized by a robust inflammatory response against myelin sheath antigens, which causes astrocyte and microglial activation and demyelination of the central nervous system (CNS). Multiple genetic predispositions and environmental factors are known to influence the immune response in autoimmune diseases, such as MS, and in the experimental autoimmune encephalomyelitis (EAE) model. Although the predisposition to suffer from MS seems to be a multifactorial process, a highly sensitive period is pregnancy due to factors that alter the development and differentiation of the CNS and the immune system, which increases the offspring’s susceptibility to develop MS. In this regard, there is evidence that thyroid hormone deficiency during gestation, such as hypothyroidism or hypothyroxinemia, may increase susceptibility to autoimmune diseases such as MS. In this review, we discuss the relevance of the gestational period for the development of MS in adulthood.