(1) Background: Multiple sclerosis (MS) is pathogenically characterized by high oxidative stress and symptomatically by progressive muscle loss and increased body fat associated with the presence of depression. Epigallocatechin gallate (EGCG) (particularly present in green tea) and ketone bodies (in particular beta-hydroxybutyrate (BHB)), whose main source is coconut oil, have shown emotional benefits and body fat loss. The aim of this study was to assess the impact of EGCG and coconut oil on cortisol activity related to fat loss and depression in MS patients. (2) Methods: The study involved 51 MS patients who were randomly divided into an intervention group or a control group. The intervention group received 800 mg of EGCG and 60 mL of coconut oil, which were included in their daily diet for four months. The control group received placebo and all patients followed an isocaloric diet. A blood sample was collected before and after the four-month period, and levels of cortisol, albumin and BHB were measured in serum. In addition, immediately before and after the intervention, anthropometric variables were measured: waist-to-hip ratio (WHR), body fat mass percentage, fat weight, total weight, and muscle mass percentage. Depression was assessed with the Beck Depression Inventory II (BDI-II). (3) Results: No significant changes were obtained in cortisol levels in any of the groups, and there was a significant increase in albumin in the blood of the intervention group only that could lead to a decrease in serum free cortisol. In addition, it was observed a significant decrease in levels of depression and abdominal fat. (4) Conclusions: EGCG combined with coconut oil increase the concentration of albumin in blood and produce less depression in MS patients.