Background: Multiple sclerosis (MS) is a chronic autoimmune disease of the central nervous system that leads to a great deterioration in the quality of life. Objective: We aimed to assess the effectiveness of two individual programs, one based on transcranial direct current stimulation (tDCS) and another based on the effect of physical exercise on fatigue and quality of life in patients with MS. Methods: A total of 12 patients with relapsing–remitting and progressive secondary MS participated. Fatigue and quality of life were assessed before and after intervention. The exercise program and tDCS were carried out over a 4-week period, with a washout period of 5 months. Results: The results show significant improvements in the different quality of life subscales after the application of tDCS, activities of daily living (r = 0.625; p = 0.037) (g = 0.465), psychological well-being (r = 0.856; p = 0.004) (g = 0.727) and coping (r = 0.904; p = 0.18) (g = 0.376), and in those after the application of exercise, activities of daily living (r = 0.853; p = 0.003) (g = 0.570) and psychological well-being (r = 0.693; p = 0.041) (g = 0.417). After the application of both therapies, more than 50% of the subjects did not have a positive fatigue score on the MFIS scale. Conclusion: The major findings suggest that the application of both therapies produces a beneficial effect with significant improvements in the quality of life of this sample.