We present the first search for binary companions of Massive Young Stellar Objects (MYSOs) using AO-assisted K band observations, with NaCo at the VLT. We have surveyed 32 MYSOs from the RMS catalogue, probing the widest companions, with a physical separation range of 400 -46,000 au, within the predictions of models and observations for multiplicity of MYSOs. Statistical methods are employed to discern whether these companions are physical rather than visual binaries. We find 18 physical companions around 10 target objects, amounting to a multiplicity fraction of 31±8% and a companion fraction of 53±9%. For similar separation and mass ratio ranges, MYSOs seem to have more companions than T Tauri or O stars, respectively. This suggests that multiplicity increases with mass and decreases with evolutionary stage. We compute very rough estimates for the mass ratios from the K band magnitudes, and these appear to be generally larger than 0.5. This is inconsistent with randomly sampling the IMF, as predicted by the binary capture formation theory. Finally, we find that MYSOs with binaries do not show any different characteristics to the average MYSO in terms of luminosity, distance, outflow or disc presence.