Multiple sclerosis (MS) is a chronic neurological disease whose etiology has not been fully understood yet in detail. Empirical findings show how psychosocial symptoms are very important features of the clinical presentation of MS, having a deep impact on patient's quality of life, and thus psychological coping strategies may play a central role in reducing the burden of the disease and improving patient's satisfaction of life. MS progression and relapses/exacerbations are unpredictable and may depend on factors such as stressor chronicity, frequency, severity, type, and individual patient characteristics such as depression, personality, locus of control (LOC), optimism, and perceived social support. Due to its importance for health-care delivery, rehabilitation, and nursing, here, we make a systematic review on the current state-of-the-art studies concerning the relationship between LOC and MS, according to the PRISMA guidelines, and we assess the quality and the completeness of the studies using the CONSORT instrument, underpinning their limitations, and suggesting how to fill the gap in this research field.