Background: Disease activity in the first years after a diagnosis of relapsing-remitting multiple sclerosis (RRMS) is a negative prognostic factor for long-term disability. Markers of both clinical and radiological responses to disease-modifying therapies (DMTs) are advocated. Objective: The objective of this study is to estimate the value of cerebrospinal fluid (CSF) inflammatory markers at the time of diagnosis in predicting the disease activity in treatment-naïve multiple sclerosis (MS) patients exposed to dimethyl fumarate (DMF). Methods: In total, 48 RRMS patients (31 females/17 males) treated with DMF after the diagnosis were included in this 2-year longitudinal study. All patients underwent a CSF examination, regular clinical and 3T magnetic resonance imaging (MRI) scans that included the assessment of white matter (WM) lesions, cortical lesions (CLs) and global cortical thickness. CSF levels of 10 pro-inflammatory markers – CXCL13 [chemokine (C-X-C motif) ligand 13 or B lymphocyte chemoattractant], CXCL12 (stromal cell-derived factor or C-X-C motif chemokine 12), tumour necrosis factor (TNF), APRIL (a proliferation-inducing ligand, or tumour necrosis factor ligand superfamily member 13), LIGHT (tumour necrosis factor ligand superfamily member 14 or tumour necrosis factor superfamily member 14), interferon (IFN) gamma, interleukin 12 (IL-12), osteopontin, sCD163 [soluble-CD163 (cluster of differentiation 163)] and Chitinase3-like1 – were assessed using immune-assay multiplex techniques. The combined three-domain status of ‘no evidence of disease activity’ (NEDA-3) was defined by no relapses, no disability worsening and no MRI activity, including CLs. Results: Twenty patients (42%) reached the NEDA-3 status; patients with disease activity showed higher CSF TNF ( p = 0.009), osteopontin ( p = 0.005), CXCL12 ( p = 0.037), CXCL13 ( p = 0.040) and IFN gamma levels ( p = 0.019) compared with NEDA-3 patients. After applying a random forest approach, TNF and osteopontin revealed the most important variables associated with the NEDA-3 status. Six molecules that emerged at the random forest approach were added in a multivariate regression model with demographic, clinical and MRI measures of WM and grey matter damage as independent variables. TNF levels confirmed to be associated with the absence of disease activity: odds ratio (OR) = 0.25, CI% = 0.04–0.77. Conclusion: CSF inflammatory markers may provide prognostic information in predicting disease activity in the first years after DMF initiation. CSF TNF levels are a possible candidate in predicting treatment response, in addition to clinical, demographic and MRI variables.