Background: Depression has a major impact on the disease burden of multiple sclerosis (MS). Analyses of overlapping MS and depression risk factors [smoking, vitamin D (25-OH-VD) and Epstein-Barr virus (EBV) infection] and sex, age, disease characteristics and neuroimaging features associated with depressive symptoms in early MS are scarce. Objectives: To assess an association of MS risk factors with depressive symptoms within the German NationMS cohort. Design: Cross-sectional analysis within a multicenter observational study. Methods: Baseline data of n = 781 adults with newly diagnosed clinically isolated syndrome or relapsing-remitting MS qualified for analysis. Global and region-specific magnetic resonance imaging (MRI)-volumetry parameters were available for n = 327 patients. Association of demographic factors, MS characteristics and risk factors [sex, age, smoking, disease course, presence of current relapse, expanded disability status scale (EDSS) score, fatigue (fatigue scale motor cognition), 25-OH-VD serum concentration, EBV nuclear antigen-1 IgG (EBNA1-IgG) serum levels] and depressive symptoms (Beck Depression Inventory-II, BDI-II) was tested as a primary outcome by multivariable linear regression. Non-parametric correlation and group comparison were performed for associations of MRI parameters and depressive symptoms. Results: Mean age was 34.3 years (95% confidence interval: 33.6–35.0). The female-to-male ratio was 2.3:1. At least minimal depressive symptoms (BDI-II > 8) were present in n = 256 (32.8%), 25-OH-VD deficiency (<20 ng/ml) in n = 398 (51.0%), n = 246 (31.5%) participants were smokers. Presence of current relapse [coefficient ( c) = 1.48, p = 0.016], more severe fatigue ( c = 0.26, p < 0.0001), lower 25-OH-VD ( c = −0.03, p = 0.034) and smoking ( c = 0.35, p = 0.008) were associated with higher BDI-II scores. Sex, age, disease course, EDSS, month of visit, EBNA1-IgG levels and brain volumes at baseline were not. Conclusion: Depressive symptoms need to be assessed in early MS. Patients during relapse seem especially vulnerable to depressive symptoms. Contributing factors such as fatigue, vitamin D deficiency and smoking, could specifically be targeted in future interventions and should be investigated in prospective studies.