Multiple sclerosis (MS) is a chronic central nervous system disease with a highly heterogeneous course. The aetiology of MS is not well understood but is likely a combination of both genetic and environmental factors. Approximately 85% of patients present with relapsing-remitting MS (RRMS), while 10–15% present with primary progressive MS (PPMS). PPMS is associated with an older onset age, a different sex ratio, and a considerably more rapid disease progression relative to RRMS. We systematically reviewed the literature to identify modifiable risk factors that may be associated with these different clinical courses. We performed a search of six databases and integrated twenty observational studies into a descriptive review. Exposure to Epstein-Barr virus (EBV) appeared to increase the risk of RRMS, but its association with PPMS was less clear. Other infections, such as human herpesvirus-6 and chlamydia pneumoniae, were not consistently associated with a specific disease course nor was cigarette smoking. Despite the vast literature examining risk factors for the development of MS, relatively few studies reported findings by disease course. This review exposes a gap in our understanding of the risk factors associated with the onset of PPMS, our current knowledge being predominated by relapsing-onset MS.