Neuropsychiatric abnormalities may be broadly divided in two categories: disorders of mood, affect, and behavior and abnormalities affecting cognition. Among these conditions, clinical depression, anxiety and neurocognitive disorders are the most common in multiple sclerosis (MS), with a substantial impact on patients’ quality of life and adherence to treatments. Such manifestations may occur from the earliest phases of the disease but become more frequent in MS patients with a progressive disease course and more severe clinical disability. Although the pathogenesis of these neuropsychiatric manifestations has not been fully defined yet, brain structural and functional abnormalities, consistently observed with magnetic resonance imaging (MRI), together with genetic and immunologic factors, have been suggested to be key players. Even though the detrimental clinical impact of such manifestations in MS patients is a matter of crucial importance, at present, they are often overlooked in the clinical setting. Moreover, the efficacy of pharmacologic and non-pharmacologic approaches for their amelioration has been poorly investigated, with the majority of studies showing marginal or no beneficial effect of different therapeutic approaches, possibly due to the presence of multiple and heterogeneous underlying pathological mechanisms and intrinsic methodological limitations. A better evaluation of these manifestations in the clinical setting and improvements in the understanding of their pathophysiology may offer the potential to develop tools for differentiating these mechanisms in individual patients and ultimately provide a principled basis for treatment selection. This review provides an updated overview regarding the pathophysiology of the most common neuropsychiatric symptoms in MS, the clinical and MRI characteristics that have been associated with mood disorders (i.e., depression and anxiety) and cognitive impairment, and the treatment approaches currently available or under investigation.