Introduction Multiple sclerosis (MS) is a chronic disease of progressive demyelination in the central nervous system and carries a significant risk for depression and other psychological difficulties associated with low quality of life. There is a paucity of data on the prevalence of anxiety and depression in Saudi Arabia among patients with MS. We conducted a cross-sectional study to determine the prevalence of anxiety and depression in Saudi Arabia among patients with MS by age, disease severity, compliance to medication, and social support. Methods This cross-sectional study measured the prevalence of anxiety and depression in 184 adult patients with MS. The patients were selected through a random sampling method from a pool of MS societies in Saudi Arabia. The participants completed self-administered questionnaires that included demographic variables. The participants also completed the Patient Health Questionnaire-9 (PHQ-9) and the General Anxiety Disorder-7 (GAD-7) questionnaire. Results Depression was detected among 139 (75.5%) patients with MS, with most participants having mild depression (31%). More women (83.1%) experienced depression than men (62.1%; p = 0.002). Anxiety disorder was present in 123 (66.8%) patients with MS, and most had mild anxiety (n = 56; 30.4%). Conclusion We found a very high rate of depression and anxiety among patients with MS in Saudi Arabia. Our results highlight the need for periodic screening and examination of patients with MS by psychiatrists to facilitate the early detection and treatment of these comorbidities, potentially improving patient quality of life and health outcomes.